The reason for the failure is that the index map functionality can have multispectral images as input. In that case, all the bands have to be aligned and the software needs to have a coordinate system defined.
Even although, the thermal images have only one band, the software is still expecting to have a coordinate system. It is like a check that is needed for the processing.
There is an easy workaround, processing the complete project generating the reflectance map and the index maps.
Once they have been generated, the output coordinate system can be defined (any can be valid).
The software will ask to process again but it does not have to be done. Then the index map export functionality will work.
The only drawback is that the prj file contains the coordinate system which was defined but it can be deleted and substituted by the prj which is generated together with the reflectance map. The TFW is exactly the same and the coordinates are the same as the reflectance map.
Before doing it, I would suggest creating a copy of your Pix4d project file.