Data is not being collected for Diagnostic CPU drildown (4283622)

The message Data is not being collected this component for Diagnostic CPU drill down is displayed. How to collect data for this drill down?

The collections used in this drill down are only run when a high severity I/O Stall Time alarm is raised. That is because the collections are quite expensive to run. 

Starting with Spotlight on SQL Server Enterprise 11.7.1 the SQL Server Diagnostics CPU and IO drill downs have been deprecated in favor of the SQL Server | Workload Analysis drill down CPU Resource and the SQL Server Wait Events drill down | IO Category.