Do Indexes in the T-SQL Data Warehouse automatically go over and optimize into the SSAS Cube?
The answer you quoted is worded a bit confusing but it says that it improves the performance of processing the cube, not querying it.


  So the point is, create appropriate indexes on source tables to
  improve the performance of the query which SSAS fires while processing
  the cube or while retrieving data from the source. If you have access
  to the source data, you can use this DMV to identify missing indexes
  or you can use the Index Tuning Advisor for identifying and creating
  missing indexes on the source.


Querying the cube doesn't retrieve data from the source, it retrieves data from the SSAS storage engine.

What can happen however is that your cube has a drillthrough action that action may read from the actual source database and filter your fact table on the dimension keys which were filtering the measure in the cube, in which case it may benefit from indexes in your data warehouse.