Support multi-column and non-numeric primary keys for entities.

I would also like proper support in entities for multi-column primary keys and non-numeric primary keys.

In the meantime, for those who need to create entities right now with unsupported primary keys, you can create a new column, make it the primary key, and set the column(s) that ought to be the PK as unique.
e.g. change from :

$schema['membership'] = array(
  'fields' => array(
    'uid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
    'gid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
  ),
  'primary key' => array('uid', 'gid'),
);

to:

$schema['membership'] = array(
  'fields' => array(
    'gmid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
    'uid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
    'gid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
  ),
  'primary key' => array('gmid'),
  'unique keys' => array(
    'group_member' => array('uid', 'gid'),
  ),
);

It's kludgey, but until support for a wider range of primary keys is implemented, this will may have to do.

Why 'group_member', shouldn't be 'gmid'? Can you explain a little how it's work? In the hook_entity_info() we specify as id the gmid?

$schema['membership'] = array(
  'fields' => array(
    'gmid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
    'uid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
    'gid' => array('type' => 'serial', 'unsigned' => TRUE, 'not null' => TRUE),
  ),
  'primary key' => array('gmid'),
  'unique keys' => array(
    // Why 'group_member', shouldn't be 'gmid'?
    'group_member' => array('uid', 'gid'),
  ),
);

To have an entity table in the database have a multi-column index, you need to add your own schema class to the entity annotation:

 * @ContentEntityType(
 *   id = "uid_nid",
 *   label = @Translation("User node entity"),
 *   handlers = {
 *     "storage_schema" = "Drupal\your_uid_nid_entity_module\UserNodeSchema",
...

Your own schema class should extend SqlContentEntityStorageSchema and implement getSharedTableFieldSchema. E.g. this adds a unique index to a "UserNode" entity

class UserNodeSchema extends SqlContentEntityStorageSchema {

  /**
   * {@inheritdoc}
   */
  protected function getSharedTableFieldSchema(FieldStorageDefinitionInterface $storage_definition, $table_name, array $column_mapping) {
    $aSchema = parent::getSharedTableFieldSchema($storage_definition, $table_name, $column_mapping);
    if ($table_name === 'uid_nid_field_data' && $storage_definition->getName() === 'item')
      $aSchema['unique keys']['uid_nid'] = [
        'uid',
        'nid',
      ];
    return $aSchema;
  }
}

I'd say I close this very old feature request as I believe the feature is in core already.