Index creation is controlled by the number of rows, specified in the msmdsrv.ini (default location of msmdsrv.ini file – ?:\Program Files\Microsoft SQL Server\MSAS10_50.SQL2008R2\OLAP\Config\msmdsrv.ini) file as <IndexBuildThreshold>, with a default of 4096. Partitions with fewer rows will not have indexes built.
Which means if you have less than 4096 records in a Partition you will not see Index for same.
How to Determine Index is present or not –
SELECT * FROM SYSTEMRESTRICTSCHEMA(
, CUBE_NAME = 'Adventure Works'
, DATABASE_NAME = 'Adventure Works DW 2008'
,MEASURE_GROUP_NAME = 'Internet Sales'
,PARTITION_NAME = 'Internet_Sales_2004')
Look for Attribute Index Col.