index creation will affect ES?

If I create (or modify) any index in my DB, do I need to regenerate my classes in MyGeneration?

No, indexes have no effect. We do use Foreign keys though to generate the hierarchical model, but adding even a foreign key wouldn't break any code.  At some point we will probably generate LoadBy's for each index like we do for LoadByPrimaryKey but that would be an optional checkbox of course.