Firstly, does running the join query in SMS result in having lots of records, or just the 2 you listed.

At first glance it appears as if it were working as an INNER join, not an OUTER, however I believe that you may be confusing SSRS with that way you setup the values/label for the dropdown and in your query. Here is how I would do it more clearly:

1. The dataset shoulld contain two fields

SELECT DISTINCT Deliveries.ShipperNo, Deliveries.ShipperNo + ' ' + ShipperName.AccountName AS ShipperLabel

FROM Deliveries LEFT OUTER JOIN

ShipperName ON Deliveries.ShipperNo = ShipperName.ShipperNo

ORDER BY ShipperNo

2. Then for the parameter field, set the Value Field: ShipperNo and the Label Field: ShipperLabel

Hopefully that will help, good luck.