Yes, you do. If you have your dividends and/or capital gains reinvested, that is definitely reportable, taxable income. The fact that you did not get it in had is irrelevant. It was credited to your account, and then, by your instruction, used to buy additional shares. That makes it reportable and taxable.
Be sure to keep track of the amount and the number of additional shares bought so that you can add that to your cost basis. That way you will not have to pay tax on that amount again when you eventually sell.
