Trying to deploy sp_blitzIndex - but fails
You're trying to deploy something other than sp_BlitzIndex. The warning that you're getting is part of a paid product that we offer, and I'm guessing that you copy/pasted that script from another source.
Try downloading a fresh copy of sp_BlitzIndex from one of the official sources, like http://firstresponderkit.org or https://www.brentozar.com.