In my case, I had inadvertently altered permissions to the \Splunk\var\lib\splunk\modinputs\nessus\ directory when I opened it in Windows Explorer and UAC updated the folder permissions. Afterward, Splunk did not have permissions to write data to this folder as seen in splunkd.log:
06-15-2016 14:30:48.160 -0400 ERROR ExecProcessor - message from "python "C:\Program Files\Splunk\etc\apps\Splunk_TA_nessus\bin\nessus.py"" IOError: [Errno 13] Permission denied: u'C:\\SPLUNKDATA\\Splunk\\var\\lib\\splunk\\modinputs\\nessus\\nessus_scan_nessus_scan.ckpt.new'
I manually edited permissions on the \nessus directory and gave Administrators full control of all subfolders and files. I restarted Splunk to trigger the Nessus plugin actions and it immediately started working.
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