Knowing that an indexed column leads to a better performance, is it worthy to indexes all columns in all tables of the database? What are the advantages/disadvantages of such ap
No because you have to take in consideration that every time you add or update a record, you have to recalculate your indexes and having indexes on all columns would take a lot of time and lead to bad performance.
So databases like data warehouses where there use only select queries is a good idea but on normal database it's a bad idea.
Also, it's not because you are using a column in a where clause that you have to add an index on it. Try to find a column where the record will be almost all unique like a primary key and that you don't edit often. A bad idea would be to index the sex of a person cause there are only 2 possible values and the result of the index would only split the data then it will search in almost every records.