I believe you have to connect to an SQL tuning repository. If you connect via the management server it will give you the option to create one of these in the management server repository. If not, you have to do it yourself, but I'm not sure how to do this off the top of my head. Check out the documentation and it should tell you what scripts to run to create this.
Actually, I think you'll find it needs a tuning repository, which may or may not be part of the management server repository, as stated in my previous post. Strictly speaking, the management server is not necessary.