Reading the article, the database did use an index for the lookup. However, if that index lookup is hitting spinning rust, then it can take 10ms or so per entry, which adds up.
In contrast, if you have sorted/indexed both tables on the join key, then the database is able to do a merge join. This is effectively what the command line implementation did, and is much faster, assuming you can get hold of sorted data quickly to begin with. If the tables are unsorted, then the extra cost of sorting them first needs to be added.
Most databases will evaluate several methods of running the query. Something like Postgres EXPLAIN will provide details of the method being used.
In contrast, if you have sorted/indexed both tables on the join key, then the database is able to do a merge join. This is effectively what the command line implementation did, and is much faster, assuming you can get hold of sorted data quickly to begin with. If the tables are unsorted, then the extra cost of sorting them first needs to be added.
Most databases will evaluate several methods of running the query. Something like Postgres EXPLAIN will provide details of the method being used.