I fairly certain you have to install the SP2010 bits on the SQL Server SSRS
instance to create the integration point, just like 2007.

At least, that how I set up my 2010 farm - I'm using one beefy SQL box for the
SharePoint backend AND the SSRS instance and it is also by necessity a server in
the farm. In Central Admin I'm not running any SP services on it though other
than the bare minimum.

This may not be best practice - I get a health analyzer warning "Databases exist
on servers running SharePoint Foundation." I don't know if this issue would go
away if the SQL box/WFE was running SSRS only or not.

See, that's what I don't get; the SharePoint health checker itself says it's
a big no-no to run SP on a SQL Server (which is always the way I've heard it
preached from MS and surrounding countries).

I went ahead and created the WSS_WPG group on the report server, per
http://phase2.com/blog/?p=1320 (the only article I found that seemed to
address 2010), ran the integration bit in Central Admin again -- and
everything seemed to complete happily.

Are you saying SharePoint-integrated SSRS is up and running and you didn't
install SP2010 on the Report Server and add it to the farm?

Here are a couple of my go-to articles for doing this stuff:

How to: Install and Configure SharePoint Integration on Multiple Servers
(msdn.microsoft.com/en-us/library/bb677365.aspx)

How to: Install a SharePoint Web Front-end on a Report Server Computer
(msdn.microsoft.com/en-us/library/aa905869.aspx)

I think I'm on the right track now.........