Perhaps you are trying to create a report in some existing project, in this case I had the same problem with VS2010.
To make the Fetch XML data source visible, you must create a new project in Visual Studio. If all the installations were successful, you should be able to create a project using the Business Intelligence / Report Server Project project template, than create a new report in the report data window (if it does not appear automatically - just click on any place in the report, go to the menu “View”) and find the “Report Data” window), right-click on the datasets, and then select “Use the dataset built into my report”, click the “Create ...” button next to the data source and you will see Microsoft Connections Microsoft Dynamics CRM Fetch.
You do not have the opportunity to test this on VS2012, I hope this helps.
source share