Sorry, since I don't know ZEMAX 2005 very in details so I cannot be 100% certain if this Propagation Report feature is available in this version. xn,9Wj-
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However, can you find Physical Optics Propagation (POP) under Analysis menu at all? If not, then your version does not support it then. I know that POP was introduced later on in ZEMAX but I don't know since when.