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According to my test, we can create non-clustered index on the cdc.<capture_instance>_CT table.
But it is not recommended to query system tables directly. Instead, execute the cdc.fn_cdc_get_all_changes_<capture_instance> and cdc.fn_cdc_get_net_changes_<capture_instance> functions. Please refer to this doc. So I think it is better not to create index on the CDC system index.
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