Oh - sorry I guess that is only for native mode. I did see a post that said that MyReports is not an available feature in SQL 2008 R2 integrated mode. I could not find anything out about that re: SQL 2012.
I know I struggled getting integrated mode to work in our SP 2010 farm with SQL 2008R2. We had a consultant set up the farm but they didn't set up reporting. That fell into my lap, even though I was out of the loop during the initial install. It was a couple weeks of misery, lots of Googling, etc. It doesn't look like it has gotten any better with SQL 2012. All the stars have to be aligned for the thing to work. Good luck. Sorry I can't be of more help.