Which Accounts setup steps actually block the reports?

Only two: Connect Xero and Bring your books in (the first sync, finished for every connected organisation). Every report reads the books those bring in. All twelve other steps — financial year, registration numbers, company structure, GL exclusions, P&L mapping, management pack, payment approval, bank file format, paying account, pay day, remittance and HMRC dues — are prompts with a working default. The wizard's 'What you can do now' panel groups them in three lines of work: Books, reports and the management pack; Paying suppliers; Companies and HMRC dues.