I just converted from WhatsUpGold. When I wanted to setup a Performance Monitor sensor, I could just choose whether it would be WMI or SNMP and choose the system and I would get a listing of perf monitors available on that system (it looked very similar to what you get from perfmon itself).
PRTG's method is tedious. Making copy and paste from perfmon the counter details, then paste it into the Custom Sensor. Very time consuming. Also I can't use more than a single counter per sensor.
I hope you guys can improve this down the road.