Ensure that the security context account has sufficient rights to execute code on the gathering machine. Normally this is achieved by granting that account membership in local Admins - but it could also be achieved by granting the account membership in the local users group too.
MessageStats Service or the Logged On account requires: local admin, act as part of the operating system
Account specified in security context requires: exchange rights, local admin on target exchange server, domain admin or gathered domains, local admin - or if that's an issue - membership in local Users group.
If no account is specified in security context, the MessageStats / Logged On account requires those rights instead.