In 'set relation to' - is is a must to have an index on the parent table?

I have tried, after SQL Selecting data into a cursor, indexing on the relational field, but I keep getting 'xyz.idx already exists - overwrite it? yes/no', so I tried it without creating the index
and it still seems to work, but I want to know if there are gotchas down the road when it a production environment.

Many thanks!