Yes,
I get "The folder doesn't exist. Unable to create index.", too..
Hm.. I just checked the situation on another computer running SUSE-9.1 - it seems SUSE's index folder is /var/cache/susehelp . But this folder only contains SUSE and software related material *dbs, wordlists and config files - there's nothing specific to KDE. Maybe the 'vanilla' KDE documentation doesn't come with any htdig features.. I don't know for sure. kcontrol _has_ a search tab.
Well - it's not a big issue, but I was wondering.
Regards,
tes