1. Splunk Enterprise Documentation, Monitoring Splunk Enterprise, "Set up the monitoring console in a distributed deployment". In the table under "Which instance should host the monitoring console?", for the "Indexer cluster" deployment type, the recommended location is explicitly stated as the "Cluster master".
2. Splunk Enterprise Documentation, Managing Indexers and Clusters of Indexers, "The role of the master node". This section describes the master node's central function in managing the entire cluster, which logically makes it the ideal location for the monitoring tool that oversees the cluster's health.