I have to try to answer my own question, since it seems that I found the problem. It is really interesting.
I was changing the pefmon.conf manually with the editor. I was also checking if everything is OK form web GUI of the splunk. It was. After 3 servers, I decided that restarting the server isn't necessary, since GUI was displaying new data after perfmon.conf is saved and page refreshed under web GUI. But, it wasn't the case.
BTW, I also figured out that restarting splunkd through services doesn't work either. So, one needs to go through web GUI to restart it.
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