Thanks for your post. Most likely is that the PK column in the target is set up as a server-assigned Identity value. SQL Data Generator will always default to leaving this as server assigned.
We do have a feature request to allow it to set identity insert to help (ref. SDG-634) but as yet it has no fix date.
The only workaround I can think of is to drop the PK before working with the tool, then putting it back afterwards?