If I'm understanding the issue correctly, the following should alleviate this.
From the Reports>Quick Reports page of the SEPM you will see an option for Filter Settings that lists the Time range of the report. If you click on the Advanced Settings option, you will see more defined criteria for the report.
I would recommend to define the Server option of the Advanced Settings to include the specific SEPM server that you want a report from, then save the filter. Perform this for each SEPM server. Once the filters are saved you can then create new scheduled reports for each SEPM that utilize the server filter to only include data from that particular SEPM server.
I think this should alleviate the confusion regarding which server the report came from, because you will only be shown data from each respective SEPM in the reports.