That's right. The link based solution is not formally supported by the product. Reporting feature is designed to work on data in the EM repository. For your case, the best approach is to first get the data from remote database into EM. You don't mention your EM version, but here are my suggestions:
On EM 11:
Use DB UDM's (user defined metrics) to get the required data into EM repository
On EM 12:
You can use either Metric extensions (ME) or custom configuration specifications (CCS) to get the data into EM repository.