You have run into an issue with variability in software coding for different databases.
When Ancestry.com acquires indexes they may or may not choose to encode the index to create the actual event and enter the citation. The sundry marriage records databases are quite variable in this way, for instance, and the military databases either don't create any 'event' in timeline or create a 'residence' event and add citation to it.
It would be nice if all the databases worked consistently in the same way, but you appear to have discovered one that has to be manually worked to add the citation.
Sometimes the database coding ~does~ add a citation if you have *already created the event*, then click to add the citation from the 'review record' page. You can try that, which might work out with fewer clicks and backtracks.