It based on functionality that all exists in the traditional on-prem SQL Server as well - certainly not the e-mail and point a click creation, but you can definitely query SQL Server DMV's for missing index information[1].

As with any suggested indexes though, they have to be weighed against their effect on other workloads. Additional indexes can have a big impact on inserts / updates / deletes.

[1] https://blogs.msdn.microsoft.com/bartd/2007/07/19/are-you-us...