Creating an index in like so works fine:
var collection=database.CreateCollection("Categories");
var category = database.GetCollection("Categories");
var keys = IndexKeys.Ascending("Name");
var sort = SortBy.Ascending("Name");
database.GetCollection("Categories").CreateIndex(keys, IndexOptions.SetUnique(true).SetDropDups(false));

But creating an index like so (define the options before the CreateIndex throws an unhandled exception in many situations):
var collection=database.CreateCollection("Categories");
var category = database.GetCollection("Categories");
var keys = IndexKeys.Ascending("Name");
var sort = SortBy.Ascending("Name");
var options = IndexOptions.SetUnique(true).SetDropDups(false);
database.GetCollection("Categories").CreateIndex(keys,options);