>What I meant to say was is that we do use primary keys in all tables, but we don't mark them as PK constraint in the SQL Server database. I was wondering what gain there is to have that constraint.

If there is a primary key, then the constraint is created. It always better to explicily name constraints because otherwise it will be system generated and it's a bit hard to find it out.

Script the table's creation in SSMS and this you will be able to find the name of the constraint.