According to the current documentation at least, the above is not the way it is supposed to work.
From: http://docs.splunk.com/Documentation/Splunk/6.2.1/Data/Specifyinputpathswithwildcards
When determining the set of files or
directories to monitor, Splunk
Enterprise splits elements of a
monitoring stanza into segments -
defined as text between directory
separator characters ("/" or "\") in
the stanza definition. If you specify
a monitor stanza that contains
segments with both wildcards and regex
metacharacters (such as (, ), [, ],
and |), those characters behave
differently depending on where the
wild card is in the stanza.
...
If a monitoring stanza contains a
segment with regex metacharacters
before a segment with wildcards,
Splunk Enterprise treats the
metacharacters literally, as if you
wanted to monitor files or directories
with those characters in the files' or
directories' names.
...
If the regex metacharacters occur
within or after a segment that
contains a wildcard, Splunk Enterprise
treats the metacharacters as a regex
and matches files to monitor
accordingly.
... View more