A columnar database’s index is simply laid out on top of the column data. If the column is the key, then it’s sorted by definition, and no index is really required outside of maybe a zone map, because you can binary search. A non-key column gets a zone map / skip index laid out on top, which is cheap to maintain… because it’s already a column-wise slice of the data.
You don’t often add indexes to an OLAP system because every column is indexed by default — because it’s cheap to maintain, because you don’t need a separate column-wise copy of the data because it’s already a column-wise copy of the data.