Mumford's "Red Book" is not really a book or monograph in the usual sense but started life as mimeographed lecture notes (bound with red paper covers). The later photographic reproduction as Springer Lecture Notes 1358 doesn't change the format or add indexing. This is still a useful resource, but isn't as reader-friendly as some of the more recent textbooks on algebraic geometry. It's always a useful educational exercise for an individual to add index entries or notes to such a volume, though even a careful group indexing effort would still be invisible to future readers if they didn't suspect its existence.
Other widely used lecture notes pose similar problems. For example, Steinberg's often-cited 1967-68 lectures on Chevalley groups at Yale have rich content in spite of some rough spots in the write-up but exist only in cumbersome versions with no index and no page headings for easy location of material. (Publishers like AMS have tried unsuccessfully to extract a more durable version.)
As noted, a few actual books lack indexes of any kind. An example is the otherwise valuable Birkhauser monograph Complex Geometry and Representation Theory by Chriss and Ginzburg, which I believe still lacks an index. But the individual chapters or multi-chapters of Bourbaki I own (in several of their "books") do have an "index des notations" (in order of appearance), an "index terminologique" (alphabetical), and finally a table of contents.
Much more commonly, advanced books often have incomplete or erratic indexes, partly due to older technology and reliance on authors to make up their own lists after the fact. More elementary textbooks or books written for a general audience tend to be indexed by professionals, one of whom is a sibling of mine and has lots to say about the fine points. Current software makes it much easier for authors to add index entries as they go along, but even so there is wide scope for individual judgment about inclusion/exclusion or how elaborate an index to construct. Aside from that, I prefer books to have a full table of contents, descriptive section headings, logical internal numbering, and page headers that make it easy to find your way around. But as I pointed out, the "Red Book" is not really a "book".