Another reason to not key the PF is because of DFU.

If you use the UPDDTA command of DFU, it generates a maintenance screen
on the fly. When you use UPDDTA on the PF, then your DFU screen shows
the file to you in RRN sequence.
The only other alternative for viewing a file in RRN sequence is to view
the file in HEX format from the DSPPFM command.

The advantages are many:
If you want to see recently added records from your testing, you
can scroll through records from the end of file.
Deleted records are immediately noticeable as the *RECNBR field
shows you RRN#.
ISO date and time fields in a key are usually a PITA to deal
with, so having other ways to access the file ( by RRN or other keys) is
truly handy.

The reason I remember was that doing a CPYF of an unkeyed PF was much,
much faster than doing a CPYF of a keyed PF.
I have no idea of that is still true or not but we still follow that
rule and never key a PF

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