When you paste a theme to a new view, Spatial and Geocoding indexes are maintained, but attribute indexes are not. If you want the paste operation to maintain the attribute indexes, you need to make a slight modification to the 'View.Paste' system script. This article shows you the change you need to make to this script.
for each aTheme in theView.GetActiveThemes
For more information about making modifications to the default GUI, see ArcView Help > Customizing and programming ArcView with Avenue > Customizing ArcView.