From what I recall in speaking to those involved at the time, Volume 3 was indeed skinny in order to not split epics. The colour issue was, as far as I understand it, down to a combination of then-current technology and outlay. There was a tipping point where it finally became affordable to do the thinner full-colour volumes with better paper (even if the majority of stories were in black and white), thereby enabling a price-point that enough punters would swallow. (Even so, I recall people getting narked at the price rises for the colour Case Files.) I recall this happened around the time Nemesis 3 was being compiled.
I've no idea about the lack of index pages in early editions. Probably just an oversight at the time, or not realising readers would want one. Bear in mind that these series evolved over time, taking on board feedback.