documentclass{scrartcl}
usepackage{bm}
usepackage{amsmath}
usepackage{filecontents}
begin{filecontents*}{makeindexstyle.ist}
headings_flag 1
heading_prefix "{\sffamily\bfseries{"
heading_suffix "}}\nopagebreakn\nopagebreak"
end{filecontents*}
usepackage{imakeidx}
makeindex[intoc, options=-s makeindexstyle.ist]

begin{document}
index{$bm{X}$}% works well
begin{align}
  Pi(bm{u})=prod_{j=1}^du_j,quadbm{u}in[0,1]^d,label{def:pi}index{$Pi$}% produces "ERROR: CHAR: index 0 should be less than the length of the string" and "/usr/local/bin/texi2dvi: texindy failed"
end{align}
printindex
end{document}