The meaning of Tasks without TimeSheet entries means Tasks without TimeSheet entries ever. So, for example if time has been submitted against the Project Web Site Development, earlier in any of the previous Timesheet's, it will not show up within the report if Tasks without TimeSheet entries filter is chosen.

Note:
If time has been submitted against the Project Web Site Development earlier and would still like to see '0' hours against the project, then, enter '0' hours against the project.