When using /execute as <player> run say <msg>, the color indicator on the left is the same color as if the message was legitimate.

When going to report, the message is displayed under the target player's username, with the skin being black (my alt has a black skin). The message is also not reportable.

I would expect there to be a color indication, so you don't have to enter the reporting menu to check where the message came from.

Additionally, it appears /execute as <player> run say <msg> from the console does not appear in the reporting menu at all.