If you haven't seen it already, you might find the following topic in the Securing Splunk manual to be helpful:
http://docs.splunk.com/Documentation/Splunk/latest/Security/ConfigureSplunkSSO
There's also some troubleshooting tips here:
http://docs.splunk.com/Documentation/Splunk/latest/Security/TroubleshootSplunkSSO
Hope that helps!
These documents doesn't have information how to configure Http Server Authentication(HSA).
They just tell you should do HSA as first step before doing SSO.
Not useful document.