You don't need to do anything special with the Palo Splunk App
Assuming you have the appropriate security policy configured for url filtering, and that same policy is configured to forward syslog messages correctly.
There are a couple of things to look at. Most of the url logs are informational events. Check your syslog profile is set to send informational events.
Also in the URL filtering configuration (Objects>security profiles>URL filtering). Set the desired categories to an action of 'alert' and it will syslog them out.
Then in splunk they will appear as a sourcetype of "pan_threat"
There is also an option to 'log container page only' which will not log all content. Uncheck that and you should get everything.
I don't use the profile Block List text box, so can't really answer for that specific use. Usually setting the action to block should send a syslog message
If it doesn't log using the block list text box in the URL profile, you could try creating a custom category and add that to the URL profile.