dcexec login failure
The problem has been solved with some hints from:


Performance Data Collector in 2008
Data Collector - Cannot Find Database


When I setup Data Collection I did the following:

Setup

SSMS &gt; serverA
Management &gt; Data Collection
Configure Management Data Warehouse
Next
 &gt; Check: Create or upgrade a management data warehouse
Next
New
 &gt; Database name: DBA_MDW
OK
 &gt; Server name: serverA.company.com
 &gt; Database name: DBA_MDW
Next
New Login
 &gt; Login name: DOMAIN\SQLmdw
OK
 &gt; Check: mdw_admin
 &gt; Check: mdw_reader
 &gt; Check: mdw_writer
Next
Finish
Close


Configuration

Configure Management Data Warehouse
Next
 &gt; Check: Set up data collection
Next
 &gt; Server name: serverA.company.com
 &gt; Database name: DBA_MDW
 &gt; Cache directory:
Next
Finish
Close


To uninstall Data Collection, I used the script from Remove associated data collector jobs. I then followed the above setup and configuration steps, but this time under the configuration step I simply put serverA instead of serverA.company.com. That seems to have made all the difference and I'm now collecting data.