What's a good indexing scheme for a type-2 SCD table with a very broad natural key?
Look at the order of the column indexes and ensure the most selective are first

SELECT
 COUNT(DISTINCT A),
 COUNT(DISTINCT B),
 COUNT(DISTINCT C),
 COUNT(DISTINCT D)
FROM
 X


Then, read this around memory allocations for varchar columns in queries: SQL Server VARCHAR Column Width (follow Martim Smith's link)

Finally, you could use HASHBYTES to collapse the columns into a hashed computed column. You can add this to the index too as the first column so this is highly selective because it's almost unique
A surrogate key may be useful