Please guide on onboarding cloudflare with splunk for a distributed architecture.
along with information on, on which instance (HF, indexer, search heads, management instances) to install the add-ON, and on which instance to create custom index
To which add-on do you refer? The installation instructions for it should say on which instance(s) it should be installed, but if you give us the name then we should be able to provide an answer.
Indexes, custom or otherwise, are always created on the indexers. For a better user experience, they should also be defined on search heads. Do that by deploying the same indexes.conf file to both instances, but without volume references on the SH.