I am using Splunk for Exchange. but i do not see any data under Client Behavior, Message Tracking & Capacity Planning.
There are many charts/graphs for which data is not displayed in the Splunk tool.
This would indicate that you are not receiving the log data necessary. You have not provided any details of how you installed the app, so I can't diagnose any further than that. Please check out the documentation at http://docs.splunk.com and ensure you followed all the installation steps.