Realized that we missed following few critical steps required for Windows Authentication which are as follows
From the Windows Control Panel, go to Services, and then get properties on "Splunkd Service."
Click the Log On tab, and then change the "Log on as" setting from the Local System account to that of the logged on domain user.
Note: The domain user should have sufficient privileges to access the SQL Server instance.
Save your changes, and then restart the Splunk Enterprise server for the changes to take effect.
After the steps are performed on Splunkd Service for the user we are able to connect to MS SQL Server using a windows authentication user on DB Connect 2.0.4.
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