Managing personal Outlook.com account settings, security, and privacy
So what the “Report” button does is move the item out of your inbox, and sends it to Microsoft so they can further investigate the data included in the email (email forensics). They can then make changes to the application used to try and filter this, but you can’t add information you don’t have so the “scammer” can just change information in the email or even subtle differences in the email address itself.
There is also a difference in spam and phishing so if you report a phishing email as spam the verdict of the investigation could be “not spam”.
Note: I don’t work for Microsoft in any way.