That is a problem! Certainly one I haven't encountered. Most likely because I have never generated a report of over 500 pages! That is quite a tome! I am wondering whether or not PAF has been able to successfully create an index for such a large volume? Does the index appear in WordPad when you open it in there? If it does, is it complete (that is A-Z)?
You could create an index in MS Word 2002, but it would be a lengthy process. You can check out the steps you need to take to accomplish that in the HELP file.
Other than offering the opinion that PAF may not be successfully creating the Index, I can not think of anything elese at the moment (but I will keep pondering on it!).