Configuring SQL Server management data warehouse (MDW) for data collection

I am configuring a data warehouse on an SQL Server to collect data. However, the process is not finishing and it stays as per below for hours until it is manually stopped: Have you ever encountered this? I searched online but found no similar issues and from YouTube videos it seems that the process finishes quite quickly. Furthermore, once this is done, can you collect data from a VM that is on a different domain from the VM where the management data warehouse DB is (no trusting exists between the two domains).