If the column does not allow nulls - and a Primary Key column can't because values must be unique - then you cannot insert a null value; that is what the error message is saying.
The same thing applies to composite primary keys: they cannot contain null values either, because all parts are compared and NULL does not compare to NULL:
SELECT CASE WHEN NULL = NULL THEN 'YES' ELSE 'NO' END
Will always give you the result "NO".
You cannot use a NULL value in any part of a composite primary key.