How come `wp_options` table does not have an index on `autoload`?

There is no index because the need for it was never strong enough.

In ticket #14258 it was suggested, but since most options use autoload=yes by default, the index would be ignored anyway.

There is also the still open ticket #24044 _Add index to wp_options to aid/improve performance_.

I think you should create an index. It will survive upgrades. It might not help your performance, but you could add real statistical data to that ticket.

Update November 2019

The index has been added to WordPress 5.3. Finally. See the ticket #24044 mentioned above and the developer notes for the release.

Note that if you have an existing index with the same name, you will get a warning during the upgrade.

From the changeset:

Most sites will be unaffected by this change, but those with a large number of rows in wp_options, only a small number of which have autoload set, will see a significant performance improvement.
Sites with a large number of rows in wp_options, with many of them having autoload set will unfortunately see a performance penalty on top of the already very slow queries they’re running, but this should be the minority of cases.

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