It sounds like you may not have completed all of the setup steps. The documentation here lists steps that must be completed on the Checkpoint itself. If you had in fact completed those steps, read on.
I've found in my personal experience that the Checkpoint is very twitchy about the case of the options used when connecting. The DN string in particular has to match exactly the case established at the Checkpoint.
Another thing that you can check is whether or not the Checkpoint reports that it has established a trust connection with the Splunk instance. If so, this means that you've been able to retrieve the Checkpoint's cert with the one-time password. The "last connected" showing "UNKNOWN" could further corroborate the wrong case (or wrong password) issue.
I've found that I had to restart Splunk after making changes to the opsec.conf, in order to get the REST-based configs to update properly.
Finally, consider trying the -debug version of the shell scripts. It can go a long way to help you in triaging connection problems with the Checkpoint.
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