I tried it that way and it still took a long time.

I found another culprit:

lcIndex1 = 'c:\temp\index1'
lcIndex2 = 'index2'

SELECT TestDBF
*-- 'SET INDEX' took around 40 seconds
SET INDEX TO &lcIndex1,&lcIndex2

File 'TestDBF' has 980 records and resides in a network drive.