I bought the HoME volumes as they came out here in the US. They almost always came out around December. The first 2 might have been released in March, but I don't recall. I do have receipts for some of the books still in them.
I never saw an index and I don't think HMC put one out here, or I would have seen it and bought it. I don't think the UK one would work for the US editions.
I really liked them, and reading them was very interesting. I especially liked "The Lays Of Beleriand", since that was so different from anything else I had read by Tolkien.
£40 seems quite pricey for each volume. The 3 volume set @ £150 seems reasonable, but in any case I'm hardly going to re-buy them just to I can have the UK editions plus index. I'm crazy about Tolkien, just not that crazy.