What clock source is the oscillator connected at the OSC1 and OSC2 pins of a pic?
I've read in some place that it is a Primary oscillator, but the logic on my mind says that it's external, which is right?

An external clock or oscillator is a (usually square wave) signal which is generated by some other circuit.

Your setup is a Primary oscillator as the clock is generated locally by the combination of the PIC uC and the crystal.

So choose: Primary oscillator.