Please, specify in detail how to run the monitoring agent with credetials suitable for the Perfmon on the remote server.
Perfmon API does not have the option to provide credential when using it. That's why you do not have such choice in NeoLoad.
When you use the Monitoring Agent embedded with the controller, it's the user account that has started NeoLoad that will be used to monitor your target machine. If possible, you need to add that user in the Performance monitor group on the target machine.
If it's not possible, you can use that tips described in that POST to use different credential.
Another way would be to install a remote monitoring agent on the same domain of the machine that you would like to monitor. That way you can start the Monitoring Agent using a user that has right to monitor your target machine (Edit the Monitor agent Windows service).
You could also install that monitoring agent directly on the machine you would like to monitor to avoid any right/connection issues.