Update : I did burn a ticket with MS support for this. As usual, something as abstrtact as this got escalated, and it turns out that the escalation engineer also had a few suprises from this. Bottomline is that the group stats DMV will hold rows only for queries that actually have a cost associated with it(as opposed to a query run with show plan on only, which would result in a compilation/production of a plan, but no actual execution of the plan). The more interesting and real reason for the absence of data would be that the other DMV's(sys.dm_db_missing_index_details & sys.dm_db_missing_index_groups) would be collecting data even for those queries which were just compiled(and not actually run), and the kicker is that there is a hardcoded limit of 600 rows in the other two DMV's, and they never get purged(Which is a bug - fixed in SQL 2012 but no plan to fix in SQL 2008 R2). So the associated scans/seeks info which should have been collected for all legitimate associated rows in the other two DMV's just doent get recorded since the other two are still full of rows for those "compiled only" queries.

All in all, rather convoluted(it would seem) and somewhat explanatory. One question that the MS reps didnt have an answer for me on is how those "Compiled only" queries were getting collected here. I know we dont run queries on our servers that "just compile only". I would have done that if I was debugging a query(to just show estimated plans, etc.) but not 600 such queries !!

Anyway, the bottomline is that the escalation engineer agreed that as they stand, these DMV's cannot be dependably used for tracking missing index stats and that there are no plans to address this in anything earlier than SQL 2012.