Are thematic indexes illegal? It's not a score, and incipients are allowed, are they not?
There is no easy or definite answer to this question but in this case it is quite clear.
What is protected by copyright in a Henle edition of the Bach Inventions?
Not the music in itself and logically not the "edition" (articulation, dynamics etc or rather the lack of them...) since they claim it is what Bach himself wrote.
What Henle has copyright of is the fingering, footnotes and the visual layout of the scores as well as the visual layout and content of all other pages in the book including the index.
If you think about it this way there is not much difference in terms of copyright between the index page or a page from the scores.