It's just a warning saying that some attributes used in a filter for that particular search result were not indexed.
Whether indexing an attribute or not makes sense can only be determined by looking at the filter causing this warning.
You can also significantly lower search performance when adding indexes for attributes with large result sets for a distinct value.
Typical example for an indexing anti-pattern:
(uid=foobar) always returns one search result.
So obviously you index attribute uid:
index uid eq
Now it's quite common to have slightly more complex filters, e.g. for searching only "active" users:
If you have many users matching
(organizationalStatus=active) the search performance will be significantly worse if you just an index because of this unindexed warning!
The reason is that for each indexed attribute a search candidate set is generated and in a second step the search candidate sets are filtered with the unindexed assertions.
So in the above example
index uid eq will result in a search candidate set cardinality of one, while
index uid,organizationalStatus eq will produce two search candidate sets, uid still with cardinality one, but organizationalStatus with cardinality all.
=> Do not add an index just to get rid of the warning without analyzing the search filters used and the possible sizes of the search candidate sets!