I definitely misspoke when I said key lookups are bad as a blanket statement. So, please accept my apology for that.

That said, they are one of the operators that I look out for when I'm trying to optimize a query and they do prompt me to look at existing indexes that I could possibly add a an included column to, in order to make the index cover the query... (or if it's option, pull the offending column(s) from the select list)

Then again, if I'm writing a query that only returns a small number of rows, executes in a fraction of a second and won't be executed a gazillion times a day, I'm probably not going to delicate a huge portion of my day trying to make it faster and I certainly wouldn't create a new index for it.

The answer I supplied was simply an attempt to explain why the op was seeing what they were seeing and to show a different index that would give them what they were originally expecting to see.