However, while LDAP queries work on the heavy forwarder just fine, there is some missing information to really make this work well with the Splunk Cloud. I believe one needs to create some scheduled searches on their heavy forwarder and then make sure forwarding for that data is sent to their cloud instance. I have found zero useful documentation from Splunk on this and given a general lack of polish with the cloud offering, don't expect to. I'm sure it is possible to make this all work together, such that the Splunk App for Windows Infrastructure installed in the cloud will work as expected, but it will take some time and effort to make it happen.
Hurricane Labs has a article with some good information if you're trying to get it into the Splunk App for Enterprise Security in the cloud, might be helpful.