Apparently it's my bad after all. I forgot to turn on agent proxying for this servers since they are DC's & Exchange Servers.
Thanks to an entry from the product team, it helped me solved my problem.
Basically, we need to turn on agent proxying for each of the DCs & Exchange Servers. To be safe, restart the Health Service ( aka System Center Management) on the agents. So far, my Event Viewer looks good and fingers crossed, hope that my monitoring data flows in as well ... gulp
(Oh yea, just checked a minute ago, they came in ... hurray ! I just love OpsMgr)