Splunk doesn't seem to have a proper bug reporting/tracking system, so I'll report it here:
Using the # symbol in the name of a role is accepted by the Splunk GUI. After the creation, however, you get an error when you click on "View Capabilities". You can still click on the name without receiving an error, though.
Error message: "Role index#* fetch failed. JSON.parse: unexpected character at line 1 column 1 of the JSON data"
Note: To have your response accepted as answer, please provide a ticket number or other proof, that Splunk registered this as a bug and is working on fixing it.
Splunk has proper bug reporting and tracking systems and this is neither. The community appreciates you sharing what you found, but this forum is not a channel to Splunk Support. Go to support.splunk.com and login to the support portal to report the bug.
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