Harvard is not required to report or withhold taxes on your stipend/ scholarship, and no tax document will be issued to you. However, you are required to report any taxable amounts of your worldwide income to the IRS when you file your taxes.
Your fellowship stipend from the previous January through May would not be reported on your W-2, but you will need to include it, along with your assistantship earnings, in the taxable income you report to the IRS and the state of Illinois.