I assume you're using an all-in-one installation. In a bigger setup you'd normally not even be able to see the indexes defined on your indexers by clicking on the search-heads (the search-heads can have their own indexes if they're not configured according to good-practices to send the events to indexers). So I'd assume it's not as much a "bug" as a "misfeature". It's simply that the change to the indexes.conf is being picked up by the indexing part of the splunk daemon but since it's not being done from UI, the "search head" part of the daemon is not aware of this. It happens with other parts of the config too - if they're done in UI, the UI takes care of refreshing the config and keeping things consistent. If they're done manually by fiddling with the conf files, the UI might not catch-up immediately on the changes.
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