The Client's Index Configuration dialog simply creates or manipulates the collection.xconf files, these define the indexes and triggers for a collection.
For each collection, you can create a corresponding collection in /db/system/config and in here you place your collection.xconf file. After this is done you need to reindex your collection.
So if you wanted to create indexes for the collection /db/mycollection you would create the collection /db/system/config/db/mycollection and place a collection.xconf file in there defining your indexes. You would then need to reindex /db/mycollection. See - http://exist-db.org/indexing.html
The Client Index Dialog tool attempts to take care of all of this for you in a nice friendly way :-) However it is a fairly new piece of work that I contributed and has not been widely used (yet). I will check that it is reindexing correctly when prompted - in your case it sounds like it did not.
However, in your case as you reindexed manually it sounds like perhaps your indexes are not being used correctly, you would certainly expect to see a speed increase. Firstly check your collection.xconf is valid in respect to the webpage above which details the syntax, if it is not correct it, reindex your collection and report it here. Otherwise enable the TRACE level in the log (a search of the mailing list will tell you how) and then you can determine from the log if your range index is being used, again if it is not, report it here.