I found the solution for how to configure automatic startup perfmon collector set on server reboot. This is not possible by using only “Performance Monitor” (perfmon.exe). The counter collector sets are available in the “Task Scheduler” (taskschd.msc) on tree node path “Task Scheduler Library\Microsoft\Windows\PLA“. The screenshot below shows the main screen for where my “AlwaysOn” data collector set is defined in Task Scheduler. The screenshot shows that there exist multiple triggers. This option is not available in Perfmon. In addition, you might need to enable the Show Hidden Tasks under View on the menu.
The “Trigger” tab contains all the actions that should start the performance counter collector set. By default, the only trigger available is the schedule created in the perfmon. Right-click the task in the screen above, select the Properties, go to the “triggers” tab and click “New” button to create a new trigger. Select the “At Startup” in the Begin task conbobox, and press OK.
Another useful property is the “Run task as soon as possible after scheduled start is missed” on the Settings tab. Now your performance counter collector set is started automatically when the server reboots. You might also want to select the “Run whether user is logged on or not”.