server (
...
index index.html
include include.conf;
....
}

Результат:

Performing sanity check on nginx configuration:
nginx: the configuration file /usr/local/etc/nginx/nginx.conf syntax is ok
nginx: configuration file /usr/local/etc/nginx/nginx.conf test is successful


Вместо индекса другая директива, например:
server (
...
error_log /var/log/nginx/error_qqq.log
include include.conf;
....
}
даёт такой результат:

Performing sanity check on nginx configuration:
nginx: [emerg] invalid log level "include" in /usr/local/etc/nginx/vhosts/sites-enabled/sites.conf:15


Теперь error_log после индекса:
server (
...
index index.html
error_log /var/log/nginx/error_qqq.log
include include.conf;
....
}
Получается:

Performing sanity check on nginx configuration:
nginx: [warn] only the last index in "index" directive should be absolute in /usr/local/etc/nginx/vhosts/sites-enabled/sites.conf:15
nginx: the configuration file /usr/local/etc/nginx/nginx.conf syntax is ok
nginx: configuration file /usr/local/etc/nginx/nginx.conf test is successful


Просто "f":
server (
...
index index.html
# error_log /var/log/srv_www/nginx/error_qqq.log
f
include include.conf;
....
}
Такой результат:

Performing sanity check on nginx configuration:
nginx: the configuration file /usr/local/etc/nginx/nginx.conf syntax is ok
nginx: configuration file /usr/local/etc/nginx/nginx.conf test is successful

Если включить "error_log" из последнего примера:
Performing sanity check on nginx configuration:
nginx: [warn] only the last index in "index" directive should be absolute in /usr/local/etc/nginx/vhosts/sites-enabled/sites.conf:16
nginx: the configuration file /usr/local/etc/nginx/nginx.conf syntax is ok
nginx: configuration file /usr/local/etc/nginx/nginx.conf test is successful

Тут 16-я строка: include include.conf;