Set Statistics XML doesnt see index?

I have a query that pulls 900 K rows (no laughing - this is a vendor app! - ok.. u can laugh at the vendor)
when I run the query with "set statistics xml on" it says gives the following
<MissingIndexGroup Impact="81.0404">
<MissingIndex Database="[Mydatabase]" Schema="[FYIADM]" Table="[FYI_SYSDATA]">
<ColumnGroup Usage="EQUALITY">
<Column Name="[SYS_DKEY]" ColumnId="2" />
<Column Name="[SYS_DELETE_USERID]" ColumnId="19" />
<Column Name="[SYS_LIFE_CYCLE]" ColumnId="22" />
</ColumnGroup>
</MissingIndex>
</MissingIndexGroup>
This index exists on that table and I have updated stats with fullscan:
CREATE NONCLUSTERED INDEX [missing_index_78657_78656_FYI_SYSDATA] ON [FYIADM].[FYI_SYSDATA]
(
[SYS_DKEY] ASC,
[SYS_DELETE_USERID] ASC,
[SYS_LIFE_CYCLE] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, IGNORE_DUP_KEY = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
I am pretty sure that since this query is pulling half the table that the optimizer is not using the index and just doing a table scan. BUT why would it say it is missing when it is there??
I am confused!
Mike

The missing indexes feature does not provide accurate information for fine tuning index. Use DTA for fine tuning.

see the Limitations for Using the Missing Indexes Feature at:
http://msdn.microsoft.com/en-us/library/ms345485(SQL.90).aspx