I am unsure about how D3D11Device::ReportLiveDeviceObjects works?
i am not seeing anything in my output or in a console when i call this.
http://msdn.microsoft.com/en-us/library/windows/desktop/ff476370(v=vs.85).aspx
It is not clear if you are using it from C#, so in case, you must checked "Enable native code debugging" in your project settings as it is explained in http://sharpdx.org/forum/4-general/1774-how-to-debug-a-sharpdxexception#1774