Definitely an interesting one.
The question is fine and the "correct" answer is correct, but the reference is not helpful because it explicitly states that an index where the maximum total key size including variable length columns that are part of the key can be created (but a warning message is generated too) as long as the minimum possible total key size including all those columns is not greater than 900, which certainly is the case here (the minimum size of a varchar(max) column is 0, which is certainly less than 900) provided there are no existing rows in the table where the key length exceeds the limit (which is also true here, as there are no rows in the table when the index is to be created). So that page is completely useless for this question.
There is indeed a rule that no column with type nvarchar(max), varchar(max) or varbinary(max) can be used in index keys. However, it isn't documented on that BOL page (or anywhere else that I can find, for that matter). Maybe the restriction was carrient forward from the text, ntext, and image types which were superseded by the three (max) types, and someone forgot to document it anywhere.