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As !! is used very rarely (& in lot of cases algorithm can be re-thought to other way). Comparing to cons,snoc,<>, which are used more frequently then fold*,traverse - which are used more frequently than !! - I agree that the lack of built-in !! is not hat big of a deal for me, in the end I can add indexDList = fromList $ (toList x) !! i into Utils if I ever need one (because I would still save a lot of computations on cons,snoc,<> phases & would wait on https://github.com/haskell-perf/sequences/issues/26 results.
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To be sure I additionally checked with spl (DList author) in: https://github.com/spl/dlist/issues/102 & chrisdone of course holds the benchmarking repository.
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I had a play around a while ago with a very similar idea, using a fold over a slice as the container https://gitlab.com/transportengineering/vector-odd/-/blob/master/src/Data/Vector/Odd/Slice.hs . The idea was it would keep track of the number of indirections and re-optimise (i.e. write all the elements to a vector, and then turn the CPS function into a fold over that) automatically. It would probably work better if it were actually integrated in the GC or something so it would transparently "optimise". There were some basic benchmarks that I can't remember the results for :).