MS does not support user changes to MS supplied databases. They can be changed during patching/upgrade and cause a conflict.
However, there is nothing to stop you from doing it, with the understanding it might break something later.
Does Microsoft recommend/support to create non-clustered index in distribution database table Msrepl_commands? Our informatica CDC queries is running longer and execution plan suggest 99% impact to create missing non-clustered index. Once we created the non-clustered index the perf issue stand fixed but double checking if Microsoft support creating indexes in system databases?
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