>Range queries are indexed differently

If I'm reading your description right, this is hardly mongo-specific. Try it in mysql, for example:

(index is [:last, :first])

  select first from names 
  where last in ('gordon','holmes','watson')
  order by first;

An index is an ordering by which a search may be performed - to illustrate, the index for my small table looks pretty much like this:

  gordon, jeff
  holmes, mycroft
  holmes, sherlock
  watson, john

Unless the first key is restricted to a single value, it can't order by the second key without performing at least a merge-sort. They aren't in that order in the index.