When attempting a "filtered email collection", an error appears:
Warning: The selected person is not the target of an index. No Exchange data will be collected for this person.
Connect to a Microsoft Exchange Server running "Microsoft Exchange 2010 SP1" and with "Exchange Web Services" (EWS) enabled.
Please see the screenshot at the bottom depicting how the selection for such an exchange server will appear in the "Data Sources" tab.
Filtered email collections in AD Ediscovery require EWS with server-side indexing enabled. Microsoft implemented EWS in MS Exchange 2010 Service Pack 1. EWS is not available in MS Exchange 2010 and earlier.
Please see this help article for more information about troubleshooting the EWS connector.