Primer must NOT form a film?
A glossy finish is Bad News on a surface you are going to recoat.   

Paint bonds to the underlying surface one of two ways: 


the next coat of paint is chemically compatible with the last coat (usually that means the exact same paint), and the last coat is still chemically active enough for a chemical bond to occur.   If you read paint cans, that's what "recoat time" is all about. 
the surface is microscopically rough, i.e. has lots of jaggy mountains and canyons.  This is called tooth.  A surface which has been recently sanded will have this characteristic.   The next coat will form a mechanical bond by the drying paint interlocking with the dry paint.


Gloss and tooth are contradictions of each other. Gloss requires a mirror smooth surface, which a glossy topcoat is designed to give you.

In even the best paint systems, primer and paint are often chemically dissimilar.    Therefore you rely on the mechanical bond.  Primers are designed to leave a rough surface when applied normally, as a timesaver.  If you managed to lay down primer in a glossy surface, you'd need to "scuff sand" it to create the tooth needed for the next layer.  

But a glossy primer would also raise the question of whether you applied it correctly, and by extension whether it would cure and perform properly under those circumstances. For instance if you put it on too thick, you might want to give it a few more days to cure.