MongoDB API not recognizing or respecting indexes

[0xM4m4n]

Let me start off by saying I am not sure where the best place is for the team that has implemented MongoDB API on Cosmos DB but I figured this would be a good place to start.

I have a document in cosmos that is pretty basic:

{ "_id": ObjectId("abc"),
   "created_at": {
      "$date": 121219271827
    },
   "status": "pending",
   "priority": 1
}

I am doing a db.collection.find({status: "pending"}).sort({"created_at":-1, "priority": -1}) and receiving the following error from CosmosDB SDK:
The order by query does not have a corresponding composite index that it can be served from

I added both a composite index on created_at and priority via Mongo shell but that didn't work and created a single field index on created_at and priority but still receiving the same message. Is there some guidance on how to get these indexes to be properly recognized? Currently a major blocker for us.

Best,
Dave