Raoul, dividends are paid in absolute amounts, not percentages. You're looking at dividends as a percentage of share price rather than in absolute payout per share, so the increase in the value of the index is camouflaging the increase in the amount of dividends paid out.
Let's pretend you bought an ETF fund which tracks the S&P 500 in 2002 and the units cost $100 a share at that point.
In 2002, the S&P 500 had a dividend yield of 1.79%, so each ETF share would pay you $1.79 in dividends per year ($100*0.0179).
15 years ago the S&P index was at 1097, today it is at 2394, a total increase of 118%, so today the ETF share you bought in 2002 is worth $218. Today the dividend yield of the S&P 500 is 1.94% so each share is paying you $4.23 in dividends per year ($218*0.0194).
That means the amount of money you receive per ETF share has increased 136% over fifteen years, which works out to dividends increasing at an annual rate of 5.9%
Edit: L.A.S. did a great job of explaining this more clearly than than I managed, thanks!