drawback of including primary key creation along in the table creation script Sample script:

CREATE TABLE [dbo].[Countries](
    [Id] [nvarchar](2) NOT NULL,
    [Name] [nvarchar](100) NULL
 CONSTRAINT [PK_dbo.Countries] PRIMARY KEY CLUSTERED 
(
    [Id] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]


I was told by a DBA that I should not include the Primary Key  constraint in the table create script but I don't really understand.

Could anyone tell me why and what is the best practice in this situation (for example: create table first and add primary key later in alter table)?

Thanks,
Maybe he wants to load the table with data and then create the index after. That way index fragmentation and statistics would be in good shape. 

With that said a good choice of clustering key would keep fragmentation low during the data load. Kimberly Tripp has written a few posts on topic of choosing appropriate clustering keys.