What is the error you're seeing in the component monitor details view for these WMI monitors? Is there a domain trust between the Orion server and the domain of the remote host you're looking to monitor? Have you tried using the "SQL Server 2005-2008 Performance (SQL)" template instead of the "SQL Server 2005-2008 Performance (WMI)" one?
Lastly, from the SAM server are you able to open perfmon.exe and connect to the remote host and browse/list/monitor windows performance counters on that host?