Unfortunately I’ve found a problem with our development build, or rather, with SharePoint 2010. You may notice that the Usage and Health Data Collection Proxy is Stopped after deploying it in your environment. This is not just a matter of starting the service like it is with some Service Applications. In this case the SA proxy itself appears to be stopped. It appears that this is a known problem when provisioning this Service Application via the GUI. In fact, ours was created automatically as part of the Search Service Application creation process. At any rate, it doesn’t work in its current state in our environments, so it won’t actually collect any data.
To fix this just requires a couple of lines of PowerShell, courtesy of this article (to which I’ve added some clarification here).