Jonathan Kehayias walks through some common Distributed Replay errors and how to solve them:
On the Distributed Replay Controller machine, permissions need to be set in Component Services to allow the Distributed Replay Client Service accounts Launch and Activate permissions remotely on the COM component. The service accounts also need to be in the Distributed COM Users group in Windows. So in Component Services, expand Computers > My Computer > DCOM Config > DReplayController and right-click and open the Properties for the COM Component.
A lot of this boils down to permissions, but the error messages are about as unhelpful as they get.