There are two parts to data binding a DevExpress report:
Defining a DataSet (with DataTables and columns) that the report elements are bound to
Populating, or filling, that DataSet with actual data
When you click bring up the Data dialog in the report building and check the boxes next to fields, all you are doing there is defining the DataSet structure. You then need to use the report's onBeforePrint event to fill that defined DataSet with data. You can use whatever method you want to fill that DataSet, direct database queries, Select objects, EntitySchemaQuery, etc.
The reason why you're not seeing any data on the report, is because all you've done at this point is step #1, defined the DataSet that the report elements are bound to. You still need to fill that DataSet with data (step #2). If you open a few out of the box DevExpress reports you can see in the OnBeforePrint event where the code retrieves the data and fills the DataSet. Use that as a guide to how to populate/fill your DataSet for your report.