I got it wrong because I misinterpreted this line:
When you specify a PRIMARY KEY constraint for a table, the Database Engine enforces data uniqueness by creating a unique index for the primary key columns.
It creates an index but doesn't use the PRIMARY KEY as that index. Annoying, but my fault.
How to post a question to get the most help http://www.sqlservercentral.com/articles/Best+Practices/61537