How to Report on an Entire Site Collection or Multiple Site Collections in one report

This article applies to SharePoint Essentials Toolkit v6.1.3.0 and later

Step-by-step guide

Start the SharePoint Essentials Toolkit
Right click the root site in the Site Collection you would like to report on (or 'hand pick' / select only the sub sites you want to include in the report)
Click 'Select all Children' this selects all of the child nodes for the selected site
Then, right click and click View Reports→[report to view] (such as View Reports→Comprehensive Permissions report)
This will open a new window and display what we call a 'merged report'
This shows all records for the selected sites
In some reports, you can drag and drop the Site URL column to group by that column and view related records for it