You can just delete all the PaxHeader folders in the QualysGuard app folder ($SPLUNK_HOME/etc/apps/QualysGuard). These folders are not used by Splunk, and once you delete them, the error message should disappear. I assume you are running on Windows? If yes, then you have to edit inputs.conf ($SPLUNK_HOME/etc/apps/QualysGuard/default/inputs.conf) to use the Windows settings, and edit config.ini to use your username and password for QualysGuard API server.
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