Thanks to MATLAB support, I got things right.
So, to disable the generation of the report (and therefore the opening of the report window), you can simply use the command :
set_param(system, 'GenerateReport', 'Off')
I also got some more information from the MATLAB support. It is also possible to generate this report but prevent the window from opening using these commands :
set_param(system, 'GenerateReport', 'On')
set_param(system, 'LaunchReport', 'Off')
I was using MATLAB R2011a. But since R2012, there are some dedicated methods to open/close code report :
coder.report.open
coder.report.close()