Thank you Eduard.
To answer your question (1) :
I posted my question for one of our developers who added such an index and found that the index wasn't created after rebuild.
So I thought the reason might be that an indexed property cannot be null valued, I didn't bother to ask what will be the use of such an index...
From your answer I understand that this is NOT the reason why the index was not created, so we'll have to look somewhere else...
Thanks,
Uri