A more textbook expectation is that there will be a drop but in...

A more textbook expectation is that there will be a drop but in these days it's anyone's guess really. Sometimes the stock getting removed gets bid down, sometimes up, but I guess most cross trades occur on the rebalancing day itself so there isn't going to be massive volume being sold suddenly. Might depend on the price the potential buyer is willing to buy the block at too.

Looking at the daily charts the big red bar volumes more often that not correspond with the short sold shares for the day, so not surprised if it's holding the price down and buyers have no reason to go big if they can just stack buy side and let the shorts fill them.

As for the index presence it's a little weird, if you look on like Marketindex it's not inside, but if you look at other sources like CommSec XJO constituents it's included.