Adding a seemingly perfectly index is having an unexpectedly adverse affect on a query performance...

-- [Data] has a predictable structure and a simple clustered index of the primary key:
ALTER TABLE [dbo].[Data] ADD PRIMARY KEY CLUSTERED ( [ID] )

-- My query, joins on itself looking for a certain kind of "overlapping" records
SELECT DISTINCT
    [Data].ID AS [ID]
FROM 
    dbo.[Data] AS [Data]
JOIN
    dbo.[Data] AS [Compared] ON
    [Data].[A] = [Compared].[A] AND
    [Data].[B] = [Compared].[B] AND
    [Data].[C] = [Compared].[C] AND
    ([Data].[D] = [Compared].[D] OR [Data].[E] = [Compared].[E]) AND
    [Data].[F] <> [Compared].[F]
WHERE 1=1
    AND [Data].[A] = @A
    AND @CS <= [Data].[C] AND [Data].[C] < @CE -- Between a range

[Data] has about a quarter-million records so far, 10% to 50% of the data satisfies the where clause depending on @A, @CS, and @CE. As is, the query takes 1 second to return about 300 rows when querying 10%, and 30 seconds to return 3000 rows when querying 50% of the data.

Curiously, the estimated/actual execution plan indicates two parallel Clustered Index Scans, but the clustered index is only of the ID, which isn't part of the conditions of the query, only the output. ??

If I add this hand-crafted [IDX_A_B_C_D_E_F] index which I fully expected to improve performance, the query slows down by a factor of 8 (8 seconds for 10% & 4 minutes for 50%). The estimated/actual execution plans show an Index Seek, which seems like the right thing to be doing, but why so slow??

CREATE UNIQUE INDEX [IDX_A_B_C_D_E_F] 
    ON [dbo].[Data] ([A], [B], [C], [D], [E], [F])
    INCLUDE ([ID], [X], [Y], [Z]);

The Data Engine Tuning wizard suggests a similar index with no noticeable difference in performance from this one. Moving AND [Data].[F] <> [Compared].[F] from the join condition to the where clause makes no difference in performance.

I need these and other indexes for other queries. I'm sure I could hint that the query should refer to the Clustered Index, since that's currently winning - but we all know it is not as optimized as it could be, and without a proper index, I can expect the performance will get much worse with additional data.

What gives?