The other day I was attending a lesson concerning the new Dynamics AX trace parser tool. With that tool (you can download it from Partnersource and Customersource, eventually), you can analyze the trace files that are generated if you activate the tracing options (both on the server and the client side).
With the tool, you can analyze all the information that is sent between the client, the server and the database. Another point that was pinned out was that the execution plan you see in Dynamics AX (if you trace long running queries in Dynamics AX, you can click on "Execution plan" and see which execution plan is used by Dynamics AX).
Well, the execution plan shown is not the one that was actually used by the database. It is the execution plan that would be used right now, the moment you clicked on the button.
So, don't trust the execution plan for the queries run, but you can use it for future queries, so you can see if a new index will be used or not.