I was checking some old splunk distributed environment. I found a comment in the indexes.conf.template that was present in /opt/splunk/etc/system/local/ directory of cluster master. The comment is "Local indexes with the same names as the indexes on the Indexers have to exist otherwise Splunk will not allow the saved search to reference them".
I doubt if it is true. If it is true then is it a bug or in which version of splunk it is required?
Note: Definitely data wont be stored on cluster master, it is just that the index definitions should be present.