Stephanie,
They actually do link a little, in that the Sheet Index can read the Sheet Set Manager.
The sheet index is purely a Land F/X version of keeping similar information. It's primarily used as a way for the detail callout and detail manager tools to keep track of where details are placed and where detail callouts are placed so that the callouts can update on their own.
We find that the detail system in Land F/X is a much better way of managing details than in the Sheet Set Manager. You can't see previews of details in the SSM, or linked images, or all the information available in our detail manager and detail explorer. It's just plain simpler to save details in, get them on a sheet, and call them out with the Land F/X tools.
The Sheet Set Manager is much more comprehensive in other areas - layout and drawing management, auto-filling title block fields, batch plots. The sheet index has some limited tools for the layout management, but it's not its primary purpose. It's just enough for those who don't use the SSM. I personally would use them in tandem to get the benefit of both.
I'll be holding a webinar later in October that goes through both and how to use them together.
-Amanda