So, turns out this writing the index is not supported by the csv library joinery uses. There is a workaround, you can add the index as a new column prior to writing the csv file:

df.add("labels", df.index()).writeCsv(...)

Hi, can you assign this issue to me?

We should have this completed in the near future

As a heads up, the proposed solution above does not work. It adds the entire index name and all values to the single cell where the column header should be.