From the MSDN site http://msdn.microsoft.com/en-us/library/ms345392.aspx I read the following:
An identical view of reporting data from all servers.
This assumes that all of the server instances are configured identically, for example, that they use a single collation.
From the word ASSUMES I conclude that it is possible to use different collations on the server instances. Okay, the results will vary between the server instances, but that wasn't the question...