One of the many quirks of Reporting Services we\'ve run across is the complete and utter lack of a CheckBox control or even something remotely similar.
I think there is a bug with SSRS and embedding font characters above 128 (some thing todo with ANSI encoding). Basically you can use 1-128 fine, the rest show up as tall rectangular blocks.
I like NY's idea of the textbox with a border and an optional X - this sounds simple and effective.