To be sure I did not gather statistics for the local VM (Windows 7), I re-opened a new Data Collector set and before changing the <Local Computer> to my SQL box, I went down to the Processor%Process Time category and only one processor is available (processor 0). Then connecting it to my SQL box and looking at the same measurment, I see all 8 processors. There is a column for all 8 processors in my corresponding csv file, only processor 0 recorded any data.