hello. My name is***** can help you with your question.
When you create the index, and then you export the document to PDF it should maintain all the bookmarks that you created or that the index has created.
Is there something specific you are expecting to to be created by the index that is not being created? If you could provide me with some specific examples, and maybe even some screenshots – attaching them here with the paperclip icon – it would help me a great deal in providing you accurate and complete information.