While appropriate indexes can significantly improve performance, there is also a cost associated with each index added to the directory. Each addition, deletion, or modification of an entry in the directory causes all indexes affected by the change to be updated.
Substring indexes are the most costly to create and update, and presence indexes are the least costly. Obviously the more indexes that exist on a server, the longer the time it takes to do add, delete, or modify operations.
You are recommended to use indexes judiciously.
A secondary side effect of indexes is that each index obviously requires some storage to hold it. Thus, each index adds to the size of the data store.