Vijay,
We are talking about the keys of the tables that are used in the data source.
its not mandatory that we need to create on Keys, as he is facing issue with delta load n there is a chance of improvement in the data load time.
if you execute the IP of the data source ,then the data will be read for the respective tables only....
SAP logic inbuilt also uses the same source tables to extract the data.
There is a chance ... here in our system for ITM data source we had created index on ERDAT field and also index is available on VBELN fields.
You can search for SAP Notes if you find any ... can proceed further. or can raise an OSS message to SAP.
Regards
KP