"Index" in context of PDFs/Acrobat means PDF page content indexed to support advanced search.
Not at all the traditional "index" found at the end of hard copy text.
Unlike MS Word, MS Publisher does not provide the traditional "Index" feature.
You might need to investigate if MS Word (or some third-party Index application) could interface with the Publisher files such that the traditional Index you desire could be built. An index, in a Word file, can be part of the created PDF(s) page content.
However, an MS Word generated index does not use Word's "Hyperlink" feature - so, no links within the Word file and thus no link(s) in the PDF.
To get to Acrobat X's "Index" feature:
(Also described in Acrobat X on line Help)
Open Acrobat X's Tools pane. If a sub-pane titled "Document Processing" is present then expand it.
If not present then, on the right side of the gray ribbon just under Tools | Comment | Share click on the icon.
Select "Document Processing" from the associated menu.
In the expanded Document Processing sub-pane the bottom two entries are associated with the Index feature.
In context of having several PDFs from the PUB files a cataloged index might be more useful.
Thanks for your helpful explanation, much appreciated.