Besides looking at the recommendations page, have you performed any profiling, or tested the execution plans, of the queries in question? Does Azure reveal how often those queries are being executed?
Of course you can add those indices manually (do it on a test site first). The SQL database is not going to crash if two indices cover the same column. Inserts and updates can theoretically be slightly slower. But the difference is minimal. And besides: how often do you insert or update a jurisdiction anyway?
Anyway, if you go ahead and Episerver later adds those indices in a release, you can simply remove your own with a SQL script. In the meantime, you get to enjoy the performance benefits of indexed columns.
Based on the Azure portal database performance recommendation creating an index on Jurisdiction and JurisdictionRelation tables will have a high impact on database performance:
EEpiserver support does not recommend to apply the indexes manually, because if they will be included in the future releases, then we might run into problems during the deployment.
Any plans to introduce the above-recommended database indexes?