Why filtered index on IS NULL value is not used?
Why this index is not "covering" for this query:


No good reason.  That is a covering index for that query.

Please vote for the feeback item here: https://feedback.azure.com/forums/908035-sql-server/suggestions/32896348-filtered-index-not-used-when-is-null-and-key-looku

And as a workaround include the WhereColumn in the filtered index:

CREATE NONCLUSTERED INDEX IX_MyTab_GroupByColumn 
ON MyTab (GroupByColumn) include (WhereColumn)
WHERE (WhereColumn IS NULL)