Indexing and Window Functions

I continue a series on window functions in SQL Server:

If you’ve been around the block with window functions, you’ve probably heard of the POC indexing strategy: Partition by, Order by, Covering. In other words, with a query, focus on the columns in the PARTITION BY clause (in order!), then the ORDER BY clause (again, in order!), and finally other columns in the SELECT clause to make the index covering (not in order! though it doesn’t hurt!).

But do read on to understand why this is not sufficient.