This message can occur for some queries under the circumstances stated in the message. However if it is always displayed for all queries, there may be an issue with the pg_hba.conf file. The user "gpmon" needs to be able to login to the DB "gpperfmon" using the md5 password that was set for the user.
The following lines should be in the ${MASTER_DATA_DIRECTORY}/pg_hba.conf file:
local gpperfmon gpmon md5
host all gpmon 127.0.0.1/28 md5
host all gpmon ::1/128 md5
host all gpmon samenet md5