If you have Netskope Cloud Firewall (Licensed) then you can certainly do it using CFW.
You will need to contact your CSM and or Account Teams to get Rest API V2 enabled on your tenant if you don't see it.
Splunk is direct connection, you do not need Cloud Exchange to integrate Splunk. Please review appropriate documentation for Splunk.
Reports can be scheduled in AA, click on the 3 - lines on the right side inside a dashboard.
If you have Azure AD or Okta you can use SCIM provisioning which is preferred. Otherwise, you will need to keep using Directory Importer.
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