I set up a couple of inputs on my cluster master and I do see it collecting data in the logs.
However even after activating Heavy and Light Forwarder modes as per the wiki (http://docs.splunk.com/Documentation/Splunk/5.0.2/Deploy/Forwardercapabilities) I don't even see it trying to connect to the indexers (i.e. its slaves)?
Am I doing something wrong? Do I have to deploy a universal forwarder next to the master in order to monitor it?
The master is designed to function solely as the cluster manager. It's not a good idea to ask it to index external data; that's the job of the peer nodes.
The master will index its own internal data, of course, which you can access directly on the master. The master dashboard should handle most of your monitoring needs. I suppose you could configure an outputs.conf file on the master to forward that data to some other instance, if necessary, but don't set the master up as a heavy or light forwarder.
In fact enabling these apps switches off replication. Will continue at a later point in time to investigate this. If somebody has a working configuration for this, you are very much invited to post it though!