Indexing files that reside only in the cloud is not recommended.
Indexing the local storage for a cloud service is fine.
However, you should carefully consider whether indexing is the best option or not. This is covered in Help > Documentation > In & Out > Importing & Indexing.
Posts by @Greg_Jones are worth reading, as he indexes pretty much exclusively and has for a long time.
Also, you should understand the ramifications of the tighter integration with the Finder. Here are some things to consider regarding file deletion in DEVONthink…