When you say your splunk setup is running on windows server, exactly what component of splunk are you running on Windows Server? Is that component the UF, indexer or Search head?
Also, I am not familiar with using syslog on Windows server to capture the firewall logs. But I can certainly warrant for the native syslog utility on Linux servers to collect and forward data to the indexers.
What I am trying to say here is, you will want to have your firewall syslog data to a Linux server (that has splunk UF installed on it). This UF will then subsequently send data to the indexer (which I believe can be a windows indexer in your case).
Seems you are trying to use the UI to configure data inputs (like in "Continuously monitor"). Rather than that, use deployment server to push inputs.conf on your splunk UF. You do not want to install syslog server on the indexer and monitor files from there, that is not a recommended approach.
Let me know if you have any questions on this set up.
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