I managed to get help from the New Relic Support Engineer. They found that Docker 1.10+ is not compatible with LSM.
Temporary workaround:
Wait a few minutes, you will see that Docker indicators are being reported.
But keep in mind that this is an undocumented and untested workaround.
Link discussion: https://discuss.newrelic.com/t/wrong-path-to-cpu-and-memoy-data/36177
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