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I am configuring a data warehouse on an SQL Server to collect data. However, the process is not finishing and it stays as per below for hours until it is manually stopped:

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Have you ever encountered this? I searched online but found no similar issues and from YouTube videos it seems that the process finishes quite quickly.

Furthermore, once this is done, can you collect data from a VM that is on a different domain from the VM where the management data warehouse DB is (no trusting exists between the two domains).

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As mentioned by you, that the repository server from where you running the MDW is in different domain than the target computer and no trust exist, probably the reason you might not see the job running it's step for connecting. Try catching some error if possible from error logs or event viewer.

Try using repository server running on same domain or create a trust between 2 and give it a shot.

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