The error message is quite straight forward. Since my Hyper V host is running on Windows Server 2008 R2, i need to go to the following links as requested
http://support.microsoft.com/kb/975921
http://support.microsoft.com/kb/975354
Both links point to request a hotfix from Microsoft. After request is make, the hotfix is available for download.
Install two hotfixes and you need to restart the Hyper V hosts after apply the hotfixes. Once the host has restarted, you need to go to Management and select agent tab using DPM 2010 console.
Refresh all the entire Hyper V host and make sure the status indicated "OK".
Once you have complete this process, you can start to create the protection group without encounter any problem.
