Issue
You selected a field to be mapped within Heroku Connect, and Heroku Connect created a unique index for the associated column in Heroku Postgres.
Resolution
Heroku Connect will automatically create indexes for the system columns for your mapped tables, such as id or sfid.
Besides these system fields, Unique External ID fields within Salesforce are expected to contain a unique identifier for each record that can be used by an external system, in place of a Salesforce ID when necessary.
Heroku Connect will automatically create a unique index in your Heroku Postgres database to ensure that the data will continue to be able to serve this purpose effectively.