In Testlab Neo, there is a new feature called a pivot table that lets you access and view all the data in your project very quickly. To do this fast, the data in the project is already indexed so it can make the table very quickly.
If you open a project from Testlab "Classic", the index does not exist already. So the software asks to create one. Other than waiting a little while the first time you open the project and index it, it does not affect anything other than making the pivot table faster. You can still open the project in Testlab Classic afterwards, etc.