I'm experiencing the same problem described in this blog post: https://mathieulamiot.com/my-feedbacks-on-using-cockroachdb-for-a-data-intensive-django-service/
Basically, creating a foreignkey field does not create a database index, even if db_index=True is specified. The workaround described above is to make a RunSQL migration to manually create the index for every field, but it would be better to respect the db_index argument.
I am using cockroachdb 22.1.22 and django-cockroachdb==3.2.2.
Thanks!