I figured this one out, finally. Here's what I did:
Windows Server 2008 R2 and Windows 2012 R2 - Open Powershell as Administrator
PS C:\>Get-Execution Policy
If it's Restricted, then do the following:
PS C:\>Set-Execution Policy Bypass
Say Yes to the Execution Policy Change.
Then run Get-ExecutionPolicy and see that it changed to Bypass:
PS C:\> Get-ExecutionPolicy
Bypass
Once you have that done, now you'll need to make one more change.
Open your SQL Server Management Studio and log in as sysadmin (sa). Go to Security ->Logins -> NT AUTHORITY\SYSTEM (Properties) and grant the user sysadmin Server Role. Apply the change and restart your Splunk service. (Thanks Adrian: http://answers.splunk.com/answers/108974/problem-with-powershell-and-splunk_for_sqlserver-app)
Once you have all these steps done, then go into the app and run the Lookup Table Rebuilder (Searches & Reports->Lookup Table Rebuilder)
Lastly, you can run the search:
index=mssql | stats count, values(sourcetype) by host
You should see the following source types show up:
MSSQL:Database:Health
MSSQL:Host:Memory
MSSQL:Instance:Service
MSSQL:Instance:User
Powershell:ScriptExecutionSummary
