Sorry I rushed you so much, and took this long to post back! for the past 2 days I was busy running your tests and configuring the SQL Monitor Hosted collection. As I believe you can see from my account, IT WORKED! =D
You were correct: we had some permission issues on our side. Our network is higly "firewalled" and we also have 2 distinct domains, without any direct trust relationship.
Because of this issue, I was trying to configure the Relay server using local server accounts, as the monitoring server will not always be able to authenticate on the monitored instance domain. Unfortunately this did not work well - the connection was made, but some pieces of it didn't work. The tests you suggested were key to confirm it.
I had to resort to using my own domain account to do the data collection, and give up on monitoring the servers at the second domain. But for now it is working as expected.
I would just like to ask one question before we close this support request:
- do you know if in the future it would be possible to use Local accounts instead of Domain accounts to do the collection?