I've downloaded Opsgenie app 1.1.5 and I'm running Splunk Enterprise 7.0.1. I see the app in my "Apps settings" page but that page does not list a 'setup' link like that show in the screen snapshot on the https://docs.opsgenie.com/docs/splunk-integration item 2.
I've done another rolling restart of the search heads in case that was an issue but it's still missing.
I should note that this change wasn't done through the Web UI but rather from the command line. Both the installation and restart of splunk that is.
Not sure if you're still having this issue, but you can access the setup page by appending this to your Splunk URL:
We have the same issue you have on a clustered search head environment, where we can't install the app via the UI, but were able to access the setup page by manually changing the URL. Keep in mind that once you set an API key, it can't be changed without a reinstall.
I am logged in as an admin. I assume you installed the app through the web ui. I didn't do that so there was no screen that popped up. Rather I used the deployer and did a rolling restart of the search head cluster.