Hi Alexander,
from my understanding of the columnstore and the "ORDER BY PRIMARY KEY" is as follows:
Order by Primary Key, does not sort the results, it fetches the data sorted as they are sorted on the database according to the primary key, if the database is sorting the table, if not, the results are sorted according to the primary keys.
As a database using columnstore you can not just fetch the data and have them sorted by primary key, so the openSQL syntax is probably emulated and so the results are sorted.
TL:DR on HANA the ORDER BY PRIMARY KEY should not be faster than a manual ORDER BY "keys" due to emulation
You can also read the following link for general information.
Specifying a Sort Order - ABAP Programming (BC-ABA) - SAP Library