To flag an observation as confidential edit it and tick the Confidential box on the General tab. If you look in the Help (Contents – Tasks – Exchanging data – Import data – Import Wizard – Data format) you will see that you can have a column for a Confidential Flag.

To include confidential observations you need to untick ‘Exclude Confidential Data’ on the Constraints tab which can be accessed via ‘Additional Filters’ on the Layout Selection page of the report wizard. For more information see the Help (Contents – Tasks – Reporting – Using the Report Wizard – Additional filters - Constraints).

Unfortunately recent improvements to the Help have not included sorting out the indexing and searching capabilities due to insufficient resources so the easiest way to find some things is via the Contents tab.