Is it bug or feature? I cannot use makeidx in beamer.

You will have to define theindex and the commands used in the theindex-environment. Look e.g. in article.cls for ideas (you shouldn't copy it verbatim, for presentations you need a different look).

\documentclass{beamer}
\usepackage{makeidx}
\makeindex
\newenvironment{theindex}
 {\let\item\par
  %definitions for subitem etc
  }{}
\newcommand\indexspace{}
\begin{document}

\begin{frame}{test 1}
\index{Laplace}Laplace transform is... \LaTeXe\ can make you happy!
\index{Test}
\end{frame}

\begin{frame}{test 2}
\printindex
\end{frame}

\end{document}