Should I convert timezones when moving data to a report server/data warehouse
Yes, there is a reason to not convert the timezone, and to keep the times in UTC. Times in UTC can be converted on-the-fly to any given timezone (and timezone's do occasionally shift, and Daylight Savings rules shift even more often). UTC is always accurate, whereas timezones and regions that allow for Daylight Savings Time have overlaps in the "fall-back" period when you repeat a particular hour. Save yourself a lot of pain down the road and keep the data in the current, more accurate format.

For the purposes of efficient searching, either convert incoming time ranges to UTC first, or, create a non-persisted computed column that represents Mountain Time (be sure to look up the historical rules governing start/end dates for DST) and create a NonClustered Index on that computed column.