This link will be visible if there are any reported messages. Reported messages are messages that a forum user has chosen to report to the forum administration for whatever reason, as part of the report form the user will be required to enter a reason for the message report so that the administration staff knows why this report was made.
Clicking on the reported messages link will take the moderator to a special page where the moderator can review the reported message as well as reason for the report. From that page the moderator may choose to delete the report and/or take some action in response to the report.