I've seen this problem occur in test environments.
Are you running this in a nix environment? If so, this is likely a permissions issue, and if it is what I think it is, we might need to file a bug. It *might have been fixed in 6.2.1, so give that a try first.
Here's what's going on:
KV store is enabled by default. The problem is, one of the files in the distribution has permissions that are too lax.
When the KV store service starts up, it finds that this file has bad permissions, and then only fails with an error message to $SPLUNK_HOME/var/log/splunk/mongod.log:
2014-12-18T15:39:43.555Z permissions on /opt/splunk-dash/var/lib/splunk/kvstore/mongo/splunk.key are too open
In order to fix the problem and ensure that KV store is running, you need to change the permissions of this file so that the KV store service doesn't complain and not start.
To fix this:
From a shell (or Terminal window), issue
chmod 700 /opt/splunk/var/lib/splunk/kvstore/mongo/splunk.key
Restart Splunk and run the guided setup on the Exchange app again.
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