We have been investigating the issue and we finally knew why you are getting this error. We have documented the process of installing the Collection extension in our Wiki and we added an explanation of the reason of why are you getting those kind of errors:
Please, keep in mind that if your Mediawiki installation is not public (it is a local installation or it can't be accessed from Internet), you will need to install your own Render Server. The Collection developers have some suggestions about it: http://www.mediawiki.org/wiki/Extension:Collection#Set_up_your_own_render_server
In other words, you will need to install your own Render Server, or will need to make your MediaWiki installation public, so the public Render Server will be able to connect to your MediaWiki installation and get the pages to be converted to the desired format.