I think I’m doing it right, and it’s so much better than Word 2016. However, all the chosen entries appear thus -
Fred Bloggs …
but no page numbers for the pages where Fred Bloggs appears. What am I doing wrong?
In addition to @mikekaganski’s answer, check tab stop position to ensure it lies within the margins, not outside. This is particularly important if you format your index 2-column. The default tab stop aligns page number to the page right margin. When in 2-column mode, this is twice too far and the entry is clipped to column width. You then see part of the leader and no page number.
Many thanks, Ajlittoz, problem is solved now. Thanks for your input, it was all about the tab stops 
You should ensure that the entries at the Entries tab are setup correctly, specifically include the page number elements.
For an empty new documents, they consist of the following elements:
LS E# E T # LE
The elements are:
- L ink S tart (here the hyperlink starts, that would allow you to click and follow the link): Character style Index Link
- E ntry # (Chapter number): Character style , Format Number, Evaluate up t0 level 10
- E ntry (i.e., the text): Character style
- T ab stop: Character style , Fill character: ., Align right
- Page #: Character style
- L ink E nd: Character style
Everywhere Tab position relative to paragraph style indent is checked.