That's a bug. Filtered indexes (with "WHERE ..." clause) are introduced in SQL Sever 2008.
https://dev.raden.solutions/issues/747
As a workaround - uncheck "initialise database", edit file C:\NetXMS\lib\sql\dbinit_mssql.sql: remove "WHERE ..." part from this "CREATE INDEX" and initialise database by hand:
1) open "cmd" window
2) cd c:\netxms\bin
3) nxdbmgr init C:\NetXMS\lib\sql\dbinit_mssql.sql
4) net start "NetXMS Core"
https://dev.raden.solutions/issues/747
As a workaround - uncheck "initialise database", edit file C:\NetXMS\lib\sql\dbinit_mssql.sql: remove "WHERE ..." part from this "CREATE INDEX" and initialise database by hand:
1) open "cmd" window
2) cd c:\netxms\bin
3) nxdbmgr init C:\NetXMS\lib\sql\dbinit_mssql.sql
4) net start "NetXMS Core"