Hasan Savran explains why you might want to exclude columns from Cosmos DB indexes:
If everything is indexed already; Why do we want to exclude some of indexes? Indexes are saved on disk, you pay for the storage in Azure. If you keep indexing everything, your index file gets larger and you pay more for storage.
Also; write operations to index file takes longer if index file is larger. By keeping only what you need in index file will improve the latency of write operations. If you will need to change your indexing policies, Rebuilding indexes will take less time.
This behavior is quite different from the way SQL Server behaves, where indexing is more of an opt-in philosophy.