CREATE INDEX index_test ON [db_name].[dbo].[Users] (URL);
Column 'URL' in table 'db_name.dbo.Users' is of a type that is invalid for use as a key column in an index.
nvarchar(max) not null
nvarchar(max)
нельзя включать в индекс. Документация.nvarchar(max)
;URL NVARCHAR(MAX) NOT NULL,
URLIndex AS HASHBYTES('SHA',URL), -- можно добавить в индекс