I’ve done this integration a few times. There’s no official Splunk add-on for Forcepoint DLP, but the standard method is to use the syslog output from Forcepoint to send logs to Splunk. You’ll want to configure Forcepoint to forward DLP events to a syslog server, then set up a Splunk data input (TCP/UDP) to ingest them. I usually use a dedicated heavy forwarder to handle the syslog feed, then parse it with custom props/transforms to extract fields properly. Works way better than trying to use API pulls, which can get messy with volume.
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