At a guess, it wants the path to "Splunk" as an application, not splunk.exe as a binary, so /opt/splunk/, or c:\program files\splunk.
It's likely that the app is expecting SPLUNK_HOME to be set, so you could try running this (Windows):
C:\>set SPLUNK_HOME=c:\Program Files\Splunk
or on unix, setSplunkEnv will setup all variables:
root@server:~# . /opt/splunk/bin/setSplunkEnv
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