Sorry for late reply, I could able to get the optimization report with ICC xe 2015 + MSVC 2013 on GUI.
For example, I have selected properties->c/c++->Diagnostics[Intel C++]->optimization diagnostic phase->All optimization phases for some test project and got the below report.
Are you looking for any specific optimization report ?
I have setting ->
Optimization diagnostic phase ==All optimization phases
it is default option, not displayed as a border letter type (i.e. default setting);
I had this window, but it was empty (only header line was shown).
I had to re-install my laptop for some other issue, and now that window contains ICC's optimization report.
But in the solution there I have 2 projects, and when I build them both, only messages from first project are reported in the window.
I think I forgot to set "optimization diagnostic level" to 5 (the highest possible value).
I will post report whether I was successful, but since the project is large and is using many statically linked libraries, it will take some time.