Why would  running ALTER TABLE  on a  column cause it to go from NOT NULL to NULL? I am mass updating a SQL Server database. I am changing all our numeric(38,0) columns to int (yes, SQL Server scripts were created from Oracle scripts).
Using SMO and C# (I am a sw engineer), I managed to generate really nice scripts like SQL Server Management studio would. It all works very nicely except for one particular issue:

for a a handful of tables, when I call ALTER TABLE [myTable] ALTER COLUMN [columnA] INT it decides to also change the column from NOT NULL to NULL. That of course is a huge issue since I need to regenerate primary keys for most of those tables on those particular columns.

Obviously, I have plenty of options using SMO to find out which columns are primary keys and force them to be NOT NULL after or while I am updating the data type, but I am really curious as to what can be causing this.
It depends on your setting of SET ANSI_NULL_DFLT_OFF or SET ANSI_NULL_DFLT_ON (read these for other effects too from SET ANSI_DEFAULTS).

Personally, I'd have specified this constraint explicitly if I wanted null or non null columns rather than relying on environment settings.

ALTER TABLE [myTable] ALTER COLUMN [columnA] INT NOT NULL


You can issue this command again and if a column is already at the desired nullability the command is ignored. 

However, you also said that you only need to change it where it's part of a primary key. That should have no bearing on whether a column can be nullable or not from the modelling/implementation phase