That should be fairly straight forward to do. Just chose the report type that has the output format you like. Then click "show" to show all categories "By Individual", then click "all" to select everything, then look through the individual list and deselect those that you have used for your budget. That should give you everything not included in your budget.
It's not a bad idea as a oneshot, but I wouldn't want to rely on that long term. I've never had any procedure that relies on "manually keeping two data sets in sync" not eventually get out of sync. Sooner or later I'll update the budget but not the report, or vice-versa.
(it's also quite painful to pick out a lot of categories by hand)
Well, if you really want to automate the budget vs non-budget reporting, you probably need to set up a separate branch of categories just for budgeting purposes. Then all you would need to do in your report is just to exclude the budgeting category branch for your report to see all the non-budgeted activity. As long as you only use the budgeting categories, then the report would always be accurate. By the way, I expect you are aware that MD will not pickup any budgeted activity on account to account activity. I.E. if you try to budget a loan payment, Moneydance will not capture the activity. There are a few work arounds, but it's still an issue.