On a unix-like system checking for the return value of the process should work, if 0 it's fine, if != 0 an error happened. At least that's how it is supposed to work in a shell script:

#!/bin/sh
bwa index <whatever>
ret=$?
if [ $ret != 0 ] ; then
   echo "an error happened"
fi

Edit: to check if the file is ok or not? I think bwa aln should throw an error, shouldn't it?

So what could have gone wrong, then, the file transmission, use md5sum to check that? If unsure, I would always run bwa index myself, if I could. Otherwise, the user giving you the index should be asked to monitor the output and return code of bwa index.

You could take random fragments of the original fasta file and use bwa to align them to the database; if it finds them all, then it's working. Then do the same with randomly generated fasta sequences, there should be almost no hits. That's the ol' positive-control/negative-control method of running an experiment! :-)