Management Data Warehouse SQL Server data collection reports
You have to enable Data Collection


  Using SQL Server Management Studio
  
  
  In Object Explorer, expand the Management node.
  Right-click Data Collection, and then click Enable Data Collection.
  


or Using Transact-SQL

USE msdb;  
GO  
EXEC dbo.sp_syscollector_enable_collector;


FYI, MDW works using SQL Agent jobs, so the Agent has to be started and collector's jobs have to be enabled.