I posted in the MSDN forum and finally solved it. Please read the forum notes for full details and fixes too. Let me highlight the bug. When you click on Diagnostics and then Overview you get a screen for configuring the counters. There it gives option None-Basic-Custom. So it turns out what ever you see set there is actually not set that display is wrong. So when you start the monitor it will say not data found because not counter has been set. So you have to actually edit and add it.
https://social.msdn.microsoft.com/Forums/vstudio/en-US/2bf448f5-372c-478d-a55d-8c5bab6af99f/diagnostic-monitoring-does-not-work-on-azure-stack-single-node-deployment?forum=AzureStack