Brent Ozar has some grievances to air:
And if you don’t have time to review one query at a time, SQL Server makes wide-ranging analysis easy too, letting you query dynamic management views like sys.dm_db_missing_index_details to get index recommendations for the entire database. You can even use tools like sp_BlitzIndex to analyze and report on ’em.
Except…
Both of these – the index recommendations in the query plan and the ones in the DMVs – suffer from some pretty serious drawbacks.
Click through for the list. There are some doozies in there.