AD user is assigned to role SPLNK_DNS which is working fine. User also needs to be part of other role called exchange. Splunk Manager UI shows that user is part of both roles and no erros in AD logs when user logs it. However, when he searches for exhange logs, no events shows even though events are there.
Also noticed that if role SPLUNK_DNS is removed from this user, he is able to search the the exchange datatype with results.
It turns out that the role SPLNK_DNS is restricted to search terms "index=dns_index".
Once this restriction is removed from Manager » Access controls » Roles » SPLNK_DNS
"Restrict search terms" field, user belonging to to role SPLNK_DNS can now search other indexes.