The index you created will do nothing, because the leading column is the clustered index key, and is hence already indexed.
Key lookups are single-row seeks against the clustered index, hence their seek predicate will *always* be against the clustered index key. Look rather at the predicate (what columns had to be fetched to do more filters on the date) and output column (what columns had to be fetched to add to the resultset)
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability