Code first from database doesn't create the primary key in the builder of the dbContext

Alas you forgot to show the class that describes your entity nor the DbContext that contains this class.

A good beginner's description can be found in "A beginner's guide to entity framework code first"

Here you can see that if you follow certain conventions you don't have to explicitly define the primary key. Entity framework does this for you.

Quite often you see the example of a database with blogs, where each blog has zero or more posts. The blog and the post will have an Id which is the primary key and the post has a foreign key to the Id of the blog.

If you don't want to specify the properties that contains the primary key, nor the ones that contain the foreign keys, define your classes as follows:

public class Blog
{
    public int Id {get; set;}

    public virtual ICollection<Post> Posts {get; set;}
    ...
}
public class Post
{
    public int Id {get; set;}

    public int BlogId {get; set;}
    public virtual Blog Blog {get; set;}
    ...
}

public class MyDbContext : DbContext
{
    public virtual DbSet<Blog> Blogs {get; set;}
    public virtual DbSet<Post> Posts {get; set;}
}

In the code above, property Id will automatically be the primary key of Blog and Post entities. If desired you can decide to use property names Blog.BlogId and Post.PostId. Personally I don't prefer this because this would mean that all my primary keys have different identifiers.

Property Post.BlogId will automatically be the foreign key of the blog the post belongs to.