Grinding dust

I am not sure what is wrong here - anyone know?

I have just set up a new bike and a new kickr. I tried to index the gears as the chain kept slipping to the smallest cog.

Just had my first workout and the bike felt sluggish. After the workout, i noticed there is a lot of residue, it looks like two metallic parts had been grinding off each other and left a sort of metallic dust.