No indexes don't have any effect on the generated code. So your DBA's should go ahead and add indexes where appropriate. LLBLGen Pro doesn't look at indexes, only constraints.
Together with index tuning, it's often handy to evaluate how filters are constructed in some areas of the application by the developer: it's sometimes more efficient to use a relationcollection + filter instead of a FieldCompareSetPredicate + filter or vice versa (so joins vs. subqueries).