There has been an explosion of data collected about sports. Because such data is extremely rich and complex, machine learning is increasingly being used to extract actionable insights from it. Typically, machine learning is used to build models and indicators that capture the skills, capabilities, and tendencies of athletes and teams. Such indicators and models are in turn used to inform decision-making at professional clubs. Designing these indicators requires paying careful attention to a number of subtle issues from a methodological and evaluation perspective. In this paper, we highlight these challenges in sports and discuss a variety of approaches for handling them. Methodologically, we highlight that dependencies affect how to perform data partitioning for evaluation as well as the need to consider contextual factors. From an evaluation perspective, we draw a distinction between evaluating the developed indicators themselves versus the underlying models that power them. We argue that both aspects must be considered, but that they require different approaches. We hope that this article helps bridge the gap between traditional sports expertise and modern data analytics by providing a structured framework with practical examples.