When we're looking at the Report Columns, there is a Browse Fields drop down menu that has options for User Defined Fields: Account, User Defined Fields: Journal, and User Defined Fields: Persona. These fields correspond to the section of the database where we store the field.
Once we've selected the appropriate option from the Browse Fields drop down menu, we'll see the list of User Defined Fields that are stored in that section of the database, as well as the corresponding values for any multi-select User Defined Fields. For this example, we'll select User Defined Fields: Account because the Mailing Status is stored on the Defined Fields page of the Constituent account. We can, then, select Mailing Status from the list of User Defined Fields on the Account page. Again, we only want to select the name of the field, not the corresponding values: