You have to set the PRIMARY KEY in the following way:
CREATE TABLE UnidadesFuncionales (
CodigoConsorcio varchar(10),
Piso varchar(10),
Dpto varchar(10),
Propietario varchar(100) NOT NULL,
Telefono varchar(30) NULL,
Telefono2 varchar(30) NULL,
Telefono3 varchar(30) NULL,
Telefono4 varchar(30) NULL,
Fax varchar(30) NULL,
Email varchar(50) NULL,
Observaciones varchar(150) NULL,
PRIMARY KEY(CodigoConsorcio, Piso,Dpto )
);
You should have no problems with this.