The root causes of it is Jconsole couldn't find the path to Temp folder correctly. That's why hsperfdata_myname wasn't created when launching Jconsole.

What you can do is running below commands to figure out the Temp path.

echo %TEMP% 
echo %TMP%

They both should point to the same location. e.g: C:\Users\myname\AppData\Local\Temp

If not, fix them by searching Edit the system environment variables on your Windows search.