Not only does SQL Server create an index for you, it doesn’t really tell you about it. There’s no loud warning here.
It also throws that index away when the query is done executing. It only exists in tempdb while the query executes, and it’s only available to the query that builds it.
And boy, they sure can take a long time to build.
I enjoy and frequently use Erik’s depiction that an eager spool is SQL Server’s passive-aggressive way of telling you that you need an index.