This usually happens when an ETW trace session like NT Kernel Logger is already running and your Data Collector Set needs the same provider.
Close Performance Monitor and any other performance tools that might be tracing, for example Windows Performance Recorder or Resource Monitor. Open Command Prompt as administrator. Run the following to see what is active:
logman query -ets
If you see NT Kernel Logger or another session you recognize as related to a previous capture, stop it:
logman stop "NT Kernel Logger" -ets
To reset the logging service as well, run:
net stop pla
net start pla
Open Performance Monitor again and start your Data Collector Set. If it still fails, run logman query -ets once more and share the exact list it prints so we can stop the specific session that is blocking your set.