Answer from Raphael lead me to another search. Here is the why it is not possible (answer from Cobsy):
What’s wrong with nullable columns in composite primary keys?
In short:
NULL == NULL
-> false
Wierd. The solution for me is to add Id column into Model.
BTW: MySQL allow me not to define Primary Key, then I’m allowed to have such schema – EF complains about not defining the key :-(.