Mailbox Gatherings are failing due to not being able to log on to the System Mailbox because one doesn't exist on the Exchange Connect to Server in MessageStats.
An Exchange Front End Server shouldn't be used as the Connect to Server because it doesn't host Information Stores.
Change the Connect to Server to a Mailbox Server by right-clicking the Exchange Organization, selecting Properties, selecting the Connection Server tab and browsing or entering in a Mailbox Server Name. Once done, you can select the Validate button to confirm connection is made successfully.
