Why isn't my new index/table being created on the filegroup I specify?
First thanks to everyone who tried to help me with this here and on twitter.  We did however finally find the answer.  It turns out that someone created a database trigger on model.  The trigger parses every create index/table command and changes it to a DATA filegroup if it's a heap or clustered index and an INDEX filegroup for everything else.  We were then able to track the trigger back to a policy.