How to configure data collection in SQL Server 2012?
It's a bug.  This Connect ticket has a workaround for it from Kendra Little:


  I was able to work around this issue by temporarily adding a scheduled
  to the Utility Information collection (@collection_set_id=4) with the
  SQL command below. After doing this I was able to complete the data
  collection configuration via the GUI successfully. Afterwards I went
  back and set the Utility Information collection to manual start,
  thereby removing the schedule.

declare @schedule_uid uniqueidentifier
select @schedule_uid = schedule_uid from dbo.syscollector_collection_sets where collection_set_id=3

exec dbo.sp_syscollector_update_collection_set
@collection_set_id=4
, @schedule_uid=@schedule_uid