Based on the error, it looks like the CA cert wasn't included with the SSL cert pem. Can you verify that the client's CA certificate and SSL cert were combined into one file before utilizing them for Splunk? You can find instructions here on preparing the combined pem file:
https://docs.splunk.com/Documentation/Splunk/7.3.2/Security/HowtoprepareyoursignedcertificatesforSplunk
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