The concept of Compressed Sensing-aided Space-Frequency Index Modulation (CS-SFIM) is conceived for the Large-Scale Multi-User Multiple-Input Multiple-Output Uplink (LS-MU-MIMO-UL) of Next-Generation (NG) networks. Explicitly, in CS-SFIM, the information bits are mapped to both spatial- and frequency-domain indices, where we treat the activation patterns of the transmit antennas and of the subcarriers separately. Serving a large number of users in an MU-MIMO-UL system leads to substantial Multi-User Interference (MUI). Hence, we design the Space-Frequency (SF) domain matrix as a joint factor graph, where the Approximate Message Passing (AMP) and Expectation Propagation (EP) based MU detectors can be utilized. In the LS-MU-MIMO-UL scenario considered, the proposed system uses optimal Maximum Likelihood (ML) and Minimum Mean Square Error (MMSE) detectors as benchmarks for comparison with the proposed MP-based detectors. These MP-based detectors significantly reduce the detection complexity compared to ML detection, making the design eminently suitable for LS-MU scenarios. To further reduce the detection complexity and improve the detection performance, we propose a pair of Graph Neural Network (GNN) based detectors, which rely on the orthogonal AMP (OAMP) and on the EP algorithm, which we refer to as the GNN-AMP and GEPNet detectors, respectively. The GEPNet detector maximizes the detection performance, while the GNN-AMP detector strikes a performance versus complexity trade-off. The GNN is trained for a single system configuration and yet it can be used for any number of users in the system. The simulation results show that the GNN-based detector approaches the ML performance in various configurations.