I have read that DDSS for Splunk Cloud natively supports rolling data to S3 buckets. Does this include S3 Glacier as well?
No, I don't think you can write directly to Glacier S3; however you can write to an S3 bucket and age the data into Glacier according to your data lifecycle aging policy. This also works to your advantage if you need to restore some data before it goes into Glacier and then have to pay and wait for the data to restore.