Your format does not match the data, not all the data is quote delimited
try this

1    SQLCHAR    0    0     "\""       0   FIRST_QUOTE    SQL_Latin1_General_CP1_CI_AS
2    SQLCHAR    0   ...

OK try this
CREATE PROCEDURE [dbo].[Z]
 @StartDateTime datetime,
 @EndDateTime datetime,
 @Para NVARCHAR(50)
AS
BEGIN
SET NOCOUNT ON;
DECLARE @SQLString varchar(1000);
SET @SQLString = 'SET QUOTED_IDENTIFIER OFF;
SELECT DateTime,['+@Para+'.ENERGY]...

As I said I changed the query in my post
and added two single quotes on the third line from bottom before the close bracket

Not sure about 2008 as I am on 2008R2
Try selecting the required text and changing the format
or
create a placeholder, select HTML as styles and use <b></b> for...

My bad :blush:

Changed my query to add missing last quote

CREATE PROCEDURE [dbo].[Z]
 @StartDateTime datetime,
 @EndDateTime datetime,
 @Para NVARCHAR(50)
AS
BEGIN
SET NOCOUNT ON;
DECLARE @SQLString varchar(1000);
SET @SQLString = 'SET QUOTED_IDENTIFIER OFF;
SELECT * FROM OPENQUERY(INSQL, ''

I changed my SQL as it was flawed.
You do not need to convert the datetime in the query as you can format it in the report if needed.
The...

To get this to work edit your procedure and change
SET @SQLString = @SQLString + '"SELECT DateTime = convert(nvarchar, DateTime, 21), ['+@Para+'.ENERGY] , ['+@Para+'.FLOW], ['+@Para+'.POWER] '
to

SET @SQLString =...