Symptoms
Applied for Windows 2003 as well as Windows 2008 and Windows 7.
May be confirmed only if Data Gathering account is used to log on to the Site Admin computer.
Data Gathering sometimes does not finish. The progress stops on some value less than 100%. No dumps. Logs shows that the process was interrupted without any errors.
Cause
Task Scheduler doesn't create separate log on session for collector in case of the session with the same account is exist. Existent session is used and when user logs off - all processes are stopped including the data gathering collector. So to keep collector working user has to keep log-on session until the gathering finishes.
Solution
The best solution is not use of the interactive account for Data Gathering task. In this case - there is no possibility to have already opened interactive log-on session when data gathering is started. So the issue never happens.
Another option (Win 2008 or Win 7 only) is to set Configure for 'Windows Vista TM, Windows Server 2008 TM' on the task. But in this case there will be problem with Site Admin console - it cannot work with such tasks. But user still able to start and reconfigure the task directly by Windows Task Scheduler.
Similar issues
http://blogs.technet.com/askperf/archive/2009/03/17/task-scheduler-changes-in-windows-vista-and-windows-server-2008-part-three.aspx
http://forums.zmanda.com/showthread.php?t=1981