Recent advances in Space Physics theory have shown the connection between non-extensive Statistical Mechanics and space plasmas by providing a theoretical basis for the empirically derived kappa distributions commonly used to describe the phase-space distribution functions of these systems. The non-equilibrium temperature and the kappa index that govern these distributions are the two independent controlling parameters of non-equilibrium systems. The significance of the kappa index is primarily given by its role in identifying the non-equilibrium stationary states and measuring their 'thermodynamic distance' from thermal equilibrium, while its physical meaning is connected to the correlation between the system's particles. The classical, single stationary state at equilibrium is generalized into a whole set of different non-equilibrium stationary states labeled by the kappa index. This paper addresses certain crucial issues about the physical meaning and role of the kappa index in identifying stationary states. The origin of the emerged inconsistencies is that the kappa index is not an invariant physical quantity, but instead depends on the degrees of freedom of the system's particles. This leads in several misleading conclusions, such as (1) only large kappa index, practically infinite, can characterize the many-particle kappa distribution, and (2) the correlation between particles depends on the total number of the system's particles. Here we show that a modified kappa index, invariant for any number of degrees of freedom, can be naturally defined. Then, we develop and examine the relevant corrected formulation of many-particle multidimensional kappa distribution, and discuss the physical meaning of the invariant kappa index.