Do you know if is possible to store indexes locally instead of NFS in dovecot 2.2.7 ?

Yes you can set different paths for mail and index storage.

mail_location = maildir:/mnt/email/%n/_folders:INDEX=/local/email/%n/_dovecot:CONTROL=/local/email/%n/_dovecot

However in my experience when i did this the indexes seemed to have issues keeping updated across multiple machines. If server1 accepted LMTP mail from postfix and the user was checking IMAP mail on server2, they weren't always notified of the new mail delivery. So i switched back to keeping indexes on NFS.

Disclosure, dovecot warns against keeping index files on a file share AND allowing a user to be logged into two different servers at the same time accessing those same indexes at the same time, you can run into index corruption. This is what director is supposed to solve by keeping users logging in from multiple devices connected to the same backend server so the indexes aren't being accessed by multiple servers at the same time.