Different behaviour between oracle and postgres regarding alter table primary key command
An index is added in PostgreSQL, too, when a PRIMARY KEY or a UNIQUE constraint is created, as it is clearly stated in the docs. See CREATE TABLE:


  PostgreSQL automatically creates an index for each unique constraint and primary key constraint to enforce uniqueness. Thus, it is not necessary to create an index explicitly for primary key columns. ...


Tested:

Version:

x=# select version();
                                             version                                             
-------------------------------------------------------------------------------------------------
 PostgreSQL 9.5.2 on x86_64-pc-linux-gnu, compiled by gcc (Ubuntu 4.8.2-19ubuntu1) 4.8.2, 64-bit
(1 row)


Create the table and show the structure:

x=# create table abc (one int not null, two int not null, three int not null);
CREATE TABLE

x=# \d abc
      Table "public.abc"
 Column |  Type   | Modifiers 
--------+---------+-----------
 one    | integer | not null
 two    | integer | not null
 three  | integer | not null


Add the primary key constraint  and show the structure again:

x=# alter table abc add constraint abc_pk primary key (one, two, three);
ALTER TABLE

x=# \d abc
      Table "public.abc"
 Column |  Type   | Modifiers 
--------+---------+-----------
 one    | integer | not null
 two    | integer | not null
 three  | integer | not null
Indexes:
    "abc_pk" PRIMARY KEY, btree (one, two, three)




As for PgAdmin, looks like it doesn't show these automatically created indexes in the Indexes list. That's a decision its developers took. See an old discussion (from 2004!) about the exact same issue:

[pgAdmin-Support] Indexes generated for primary key are not shown by PgAdminIII.