Table does not define any key columns in Power Apps

Today I connected my PowerApp to a SQL database in Azure. Then When I tried to connect my data I got the following

There was a problem adding your data source. Please try again

A bit of an unclear message and the try again isn’t going to help either.

When looking at the details of the error things became a bit clearer:

Table ‘[dbo].[TABLE]’ does not define any key columns.
Session ID: b6b3017a-1ae5-a4ac-2af3-3f36837e68b6

I added a primary key to my table and the problem disappeared and I was able to add my data source.