I think the XtraReports is only going to use the Utils and Data and only the DLLs that it needs. However, the report viewer probably loads up a few extra DLLs that are used for the UI.
Honestly, I wouldn't worry about the extra DLLs loading up, I've never heard of a problem with it. Quite frankly, if you use Process Explorer, watch the process and check out the .NET tab, you'll notice that even on a simple program, there are some 4,000 classes loaded. So, if the lazy loading type registration system of .NET can handle all of that (mostly within mscorlib and the framework DLLs, if you've ever used Reflector on one of the framework DLLs, you'll notice that for every class you have access to, there are another 2-3 that are internal or private within the framework...), then it can definitely handle the other assemblies that add another couple hundred classes each.
Honestly, the only thing you have to worry about with many assemblies is base addressing. If two or more assemblies are based so that when they load into memory they overlap, the second one has to be rebased, which causes a loading penalty. Once it's loaded, the performance is the same whether you have 10 references or 40 references in you app.