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Data Collection jobs and AlwaysOn

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Hello all,

My company finally grew a brain this weekend and let me set up the AlwaysOn cluster I've been telling them we needed for months.  It's in Azure (which wasn't easy), but it works flawlessly. 

I really like the Data Collector of SQL Server and usually have it running on a continuous basis in the background.  Makes troubleshooting way easier.  It's worked well in the previous single-server design we were running.  But while I've used both Data Collector and AlwaysOn before, I've never tried to run both at the same time.  I expect that I will need to stand up non-synchronized databases on each node of the cluster and configure the MDW separately, as failing over the MDW seems unwieldy, and I can't imagine how I would get data from both the primary and the read-intent secondaries to all flow into one location.

To add a bit of complexity to the mix, the cluster is comprised of VM's in an Azure datacenter.  We're running SQL 2012 on Windows Server 2012 on all boxes except the domain controller (which doesn't have SQL server).

So my question is this: is there any documentation on pitfalls to avoid when setting up the MDW on an AlwaysOn cluster in Azure?  Or are there some recommended best practices?

Thanks in advance!


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