This is another one of those cases that just beats it into your head to stop making assumptions.
My first delve into RDBMS’s was MySQL. When you create a Foreign Key in MySQL, it will create an Index for you. Unfortunately, I assumed that SQL Server would do the same. Then about a year ago, I was researching ways to speed up some of the queries in a customer’s application when I came across a thread on StackOverflow. What did I find? I was making the wrong assumption and you have to create both the Foreign Key and Index in SQL Server.