If a Word file has an Index built within it, InDesign can only see it if it is a .doc file. This is a bug with CC2019-CC2014 and earlier. If you import the .docx file there are no index entries in the index panel, but there are if the file is converted to .doc.
The only way you can use a .docx file is to open it in Word and then cut and paste all the Word file text into InDesign. This way InDesign sees the Index, but I would not want to import this way, so I convert to .doc files first.
Bug: InDesign CC2019, CC2018, CC2017, CC2015, CC2014