Exchange Configuration Collection error: Unable to retrieve Exchange mailbox database properties. Check the configuration for the PowerShell connection (4222128)

You see the following error when running an Exchange Configuration Collection:

Error: Unable to retrieve Exchange mailbox database properties. Check the configuration for the PowerShell connection. Ensure the data collection credential has sufficient access rights to run the Get-MailboxDatabase cmdlet.. Details: Remote power shell connection failed. Connecting to remote server failed with the following error message : The WinRM client cannot process the request. Default authentication may be used with an IP address under the following conditions: the transport is HTTPS or the destination is in the TrustedHosts list, and explicit credentials are provided. Use winrm.cmd to configure TrustedHosts. Note that computers in the TrustedHosts list might not be authenticated. For more information on how to set TrustedHosts run the following command: winrm help config. For more information, see the about_Remote_Troubleshooting Help topic.