When configuring data collection on a sql 2008 R2 RTM installation, I found that configuration failed with an error that the Utility Information collection did not have a schedule.
The failure point occurred when setting up data collection through the GUI. At the point of failure I found that SQL Agent jobs had been created, but when I looked under the data collector there were no system collections present.
I found a workaround to get past this error, as documented in my blog here: http://littlekendra.com/2010/06/25/saddatacollector/
After using the workaround I was able to get data collection configured successfully and the collections seem to be working as normal.
The same error has been seen by another user in a different context, as documented here: http://mbah.us/blog/index.php/page/2/. That does not appear to have been during configuration of the Data Collector itself, however.