a section of the documentation seems to apply to this situation:
"Note: Under limited circumstances (for example, to perform local testing or monitoring), you might want to add an index (or an app with a new index) to one peer but not the others. You can do this by creating a peer-specific indexes.conf, so long as you're careful about how you configure the index and are clear about the ramifications. The data in such an index will not get replicated. The peer-specific indexes.conf supplements, but does not replace, the common version of the file that all peers get. ..."
more information later in the same topic:
http://docs.splunk.com/Documentation/Splunk/5.0/Indexer/Configurethepeers#Add_an_index_to_a_single_peer
in particular, your question about replication of the data is answered:
"If you need to add an index to a single peer, you can do so by creating a separate indexes.conf file on the peer. However, the data in the new index will remain only on that peer and will not get replicated"
edit: i don't think i really answer your question, which i think is: can i just have all the indexes exist on all the peers even if they're only in use on one of the peers? is that what you're asking?
further edit: ok so--yes, if you want the content of a particular index replicated, you can/should create a master indexes.conf and distribute it. you must do this explicitly, it doesn't happen automatically. also please note that you must set repfactor=auto on those indexes. that will cause the content of the index to be replicated to the other nodes as defined.
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