I did as suggested and deselected all of the log files to be monitored and ran the script on the local host and it did install collectd. However, it is still not an entity that can be monitored.
In the App for Infrastructure under Settings, I see the local host IP, and can investigate this server, but there are no cpu, disk, etc data for that host.
| mcatalog values(metric_name) WHERE index=em_metrics AND host="put SAI entity name here"
You can just run the script from "Add Data" page on the localhost. I guess you can "Deselect all" the log sources so that you don't have to install UF for logs on the localhost. This will just install collectd (No install_uf.sh). You can set up local log monitoring manually on the Splunk Instance.