Transaction Log Shipping Primary Server Status not Shown on Secondary Monitoring Server
Have you configured your log shipping correctly?

I've reproduced the issue on SQL Server 2014. So to fix it, you need to setup the correct connection of your secondary/monitor instances using SERVERNAME\INSTANCENAME. Check this link.


  ROOTCAUSE: When the setting up logshipping, for remote monitor server, we check the output of SELECT @@SERVERNAME with that of the name provided in remote server. So if the two names do not match, for example if you are using an alias or a port number or a tcp protocol, then logshipping status report will not show any configuration information. The report will not even depict the primary\secondary server or any files being backed up, copied or restored depending on whether the monitor is a remote monitor or local to Primary/Secondary.
  
  This behavior is observed when the monitor server is a Remote SQL Instance and we are not connecting to it via servername\instance name which is also the output of SELECT @@SERVERNAME query executed on monitor server itself, but rather connecting via an alias or a protocol or a port number. This happens in SQL Server 2005 as the Primary/Secondary server instances use Linked Servers to connect to the Monitor Server instance.


Once you properly configure log shipping use the follow command below to check the report:

SELECT @@SERVERNAME;
GO
EXEC sp_help_log_shipping_monitor;
GO