Missing Index Not Displaying In Execution Plan
Well just while your Tuning Advisor displays a missing index, this won't mean, that your current running query would benefit from this index. The missing index will just be displayed if the current plan would take a benefit from an index.

You can also take a look at one of these DMV's, they will display missing indices for the current db.

SELECT *
FROM sys.dm_db_missing_index_details


If you want additional information, you can also use this query from me:

SELECT  id.index_handle, DB_NAME(id.database_id), id.object_id, id.statement AS object_name, 
        gs.avg_user_impact, gs.avg_total_user_cost,
        id.equality_columns, id.inequality_columns, id.included_columns,
        gs.unique_compiles, gs.user_seeks, gs.last_user_seek, gs.last_system_seek, 
        gs.user_scans, gs.last_user_scan, gs.system_scans
FROM sys.dm_db_missing_index_details as id
INNER JOIN sys.dm_db_missing_index_groups as g
        ON id.index_handle = g.index_handle
INNER JOIN sys.dm_db_missing_index_group_stats as gs
        ON g.index_group_handle = gs.group_handle
ORDER BY gs.avg_user_impact DESC


Edit based on your last update

Well it's quite easy to determine why you won't get a suggestion.

First of all, why you'll get an proposed index for this query:

SELECT SomeVarchar20 FROM SomeTable WHERE Age=30


If you create the index, as suggested below, you'll completely serve the index out of the index.

CREATE NONCLUSTERED INDEX [&lt;Name of Missing Index, sysname,&gt;]
ON [dbo].[SomeTable] ([Age])
INCLUDE ([SomeVarchar20])


The SQL Server will be able to search for a data page using the Age, as defined in your index. In addition, due to the fact, that you only select the column SomeVarchar20, it is proposed to be added to the leaf level pages of your index (defined by the INCLUDE). This will help the SQL Server to find the right pages based on the Age in the B-Tree architecture. After he found the last row, which holds a pointer to the HEAP or the Clustered Index where all other properties lies, he also gets to the included columns on the leaf level pages. Due to the fact, that he found everything to display in the index itself, he won't go further to your HEAP or your Clustered Index. This will drastically improve your read (!) performance.

The fact, why you won't get a suggestion to add an index to this column is quite clear to me:

SELECT SomeVarchar FROM SomeTable WHERE Name='Adam'


You say that your Column Name is an varchar(512) this means one value can be 512 Bytes long. In fact a SQL Server page can hold round about 8060 bytes. This means you may store up to 16 names (maybe more if you don't use the 512 bytes all the way) per page. This won't improve performance drastically, as SQL Server might even need to iterate (seek) over many many pages. In fact, he needs to maintain all those pages additionally on each insert/update/delete.

If you just use SomeVarchar, which may be a varchar(512) too, it would drastically raise the leaf level pages, which will make the index even inefficient. This is the reason why your SQL Server might not provide a missing index hint for your SELECT.

Hopefully this will clear up all other things in your mind. Otherwise let me know.