Here is an MWE (compile this with lualatex --shell-escape MWE.tex, you only need to compile once to get the problematic output):
\documentclass{article}
\usepackage{lipsum}
\usepackage[xindy]{imakeidx}
\makeindex
\usepackage{hyperref}
\begin{document}
\lipsum[1]
\index{Lorem ipsum}
\index{Ipsum!Lorem|see{Lorem ipsum}}
\printindex
\end{document}
Here is the rendered index I get on this document1:
As you can see, the entry \index{Ipsum!Lorem|see{Lorem ipsum}} is missing. Taking a look at the output of lualatex (this does not appear in the transcript file)2:
Reading raw-index "C:\\Users\\ruben\\Dropbox\\Dokumente\\LaTeX\\hyperref-xindy-mwe\\BjciH3A8V8"...
WARNING: unknown cross-reference-class `hyperindexformat'! (ignored)
Finished reading raw-index.
Taking a look at the MWE.idx file, we can see this instance of hyperindexformat:
\indexentry{Lorem ipsum|hyperpage}{1}
\indexentry{Ipsum!Lorem|hyperindexformat{\see{Lorem ipsum}}}{1}
How can I resolve this issue?
1 The full rendered PDF file can be found and downloaded on this GitHub Gist.
2 Full command output and transcript files can be found in this GitHub Gist.

Lorem, see Lorem ipsumas part of the output. Have you remembered to typeset it twice? – Runar Aug 06 '16 at 11:09--shell-escapeoption). What TeX distribution are you using? I am using TexLive 2016 on Windows x64. – randers Aug 06 '16 at 11:17makeindexthough. – Runar Aug 06 '16 at 18:40--shell-escape– randers Aug 06 '16 at 18:41