We do not currently have a report that shows users who do not have MFA enrolled, but we do have a report that shows all users who ARE currently enrolled.
If you go to Okta Admin -> Reports -> Reports and then run the "MFA Usage" report under "Multifactor Authentication", then this will generate a detailed list of users who have registered for MFA in your Org.
I would recommend submitting a feature request for the creation of the other report. To submit this as a feature request, go to https://community.okta.com/ (https://community.okta.com/)and then log in and click on the "Ideas" button in the top-right hand corner of the page, and then select "Post Idea" on the next page. This will open a feature request for other members of the community, including our own Product Managers, to see and vote on.