You are not doing anything wrong. The tool dialog filters out the OBJECTID field from the list of available fields because it is indexed by default. If you wish to create a composite index using OBJECTID and another field you can use python to execute the tool. When executed via python the tool will allow you to specify this field.For example:
arcpy.AddIndex_management("Database Connections/testDB.sde/russell.TEST.TestPoints","OBJECTID;FIELD1","compositeTest","NON_UNIQUE","NON_ASCENDING")
Hope this helps