Contribution reports don't show Custom Field Sets that extend Organizations or Households
None of the contribution reports will show any custom field sets that are used explicitly for extending Organization or Household contact types. The same custom field set will show up if you change it in the database to extend All Contacts or Individuals.
I experienced this on a client site running CiviCRm 5.3.1 under WordPress, and tested it on the WordPress Civi master running 5.8.alpha1 at https://wpmaster.demo.civicrm.org/.