When not to use indexes?

Can you elaborate on scenarios where it might not be advisable to utilize indexes in the world of cryptocurrency and finance? Are there particular market conditions, investment strategies, or specific types of assets where relying on indexes could potentially lead to suboptimal outcomes? Additionally, how can investors ensure they are making informed decisions by understanding when to forgo index-based approaches and consider alternative methods for navigating the volatile and ever-changing landscape of digital currencies and financial markets?