Are you trying to index items inside of endnote inserted references? I don’t think you can.
Are you sure you are generating your index out side of the endnote bibliography?
Are you trying to make an index for each chapter or one index at the end, I am not sure how those settings work, as I have only generated one index for a whole document in its own section, at the very end?
I did a quick google and if you want more than one idex, this might help? http://www.techrepublic.com/article/generate-multiple-indexes-in-the-same-word-document/