Which content are you using?
The content for vSphere 4.1 has 2 parts to it, UNIX and vSphere. Most of the data is collected through vCenter Server. However, for the UNIX based rules you would need to install and configure the agent on each of the ESX hosts. Please refer documentation for more details on how to configure ESX 4.1 hosts for collection.
For vSphere 5.0 and above content, you need to configure collections from vCenter. There are some Windows based rules as well that require you to install Windows agent on your vCenter Server. Thats all!
It is recommended to use package collection filter set for collecting the needed data for Hardening Guidelines.
Please let me know if you have more questions.
Thanks and regards,
Pravin Goyal