Yes, my splunk is up and works fine, also my statsd deamon works fine because receive metrics from mother hosts, only the input on splunk doesn't works, I understand the statsd and splunk use the same port but I only follow the documentation.
So this error is appearing when you attempt to add the UDP port 8125 monitor input. I am assuming that UDP port is being used by statsd as you had stated. From the error, it sounds like splunk is trying to use udp port 8125 instead of monitor.
Have you tried adding a udp stanza to an inputs.conf file directly?
Give this a try. See Configure a UDP input in Get data from TCP and UDP ports. It is best practice to create a new app in /etc/apps for this new data source, but just try adding that [udp://..] stanza to $SPLUNK_HOME/etc/system/local/inputs.conf. After you add the stanza make sure to restart splunk, and check if that works.