Indexes let your queries run faster. When you need to adjust your indexing policies, database engines re-indexes your data respecting to your changes. In Cosmos DB, when you change your indexing policies, database engine truncates all your indexes and starts to reindex all your indexes from scratch. You do not want to change your indexing policies when your application is busy. Because your queries can not use the dropped indexes, queries will take longer, and they will cost more Request Units. Also, your queries might not return all the data they supposed to. You can read me my older post about indexes in Cosmos DB.
You may want to monitor re-indexing progress; you may want to disable your application until indexing is completed or warn your team about the re-indexing progress. You can check the re-indexing progress only from SDK, that means you need to write your own code to accomplish this. I have the following code which checks the progress every second. If progress is at %100 then it quits, otherwise it continues to check progress every second until it receives 100 as result.
Hasan has provided us with a script, so check that out.