What you’ll notice is that several of the queries are filtering on the FirstName column. There’s no good index there. If you look at the execution plans for those queries you’ll also note the Missing Index suggestion. That suggestion is a necessary part of the automatic indexing. Yeah, missing indexes. I know. They’re not always accurate. It’s just a suggestion. Blah, blah, blah. I hear you.
The magic is not supplied by missing indexes. The magic is supplied by lots of data. Microsoft can take advantage of three things. Yes, missing index suggestions is first. Then, they can use the query metrics gathered in Query Store to see the behavior of your queries over time. Finally, they can use machine learning algorithms to determine if indexes will be helpful and measure how helpful they’ve been if one gets added. It’s great stuff. Go and read on it.
Click through for more notes, as well as a Powershell script you can use to replicate his findings.