The Threat Source Host Name is returning "_" because there isn't a source for the detection logged by VSE. This is expected behavior, there is not always a source.
It depends how the threat was detected. If the threat wasdetected coming from a remote computer, as in, a remote computer trying to write an infected file to the target computer where VSE is making the detectionthen yes, the report should tell you the Threat Source Host Name.
However, if the threat was detected locally, as in, the infected file being ran and detected on the local hard drive,this field will not be populated because the threat did not come from a remotesource (previously it was left blank, but that caused some ePO reports to fall over). In this case, you'd be looking at ThreatTarget Host Name to find out the system name where the detection occurred. (if I remember correctly?)
There is no configuration to make the report more specific, i.e. to state how it has been handled.