Hello,
I have found the issue. I'm currently using NW 7.02 Trial version with SAP Gateway. There is an internal errror in the generation of model classes which will be created automatically.
In my case, ZCL_XXX_MPC->DEFINE_<my entity> has not defined correctly all key properties with the statement lo_property->set_is_key( ). I have fixed this error in SE80 and now I can use several key fields of the entity set like the following:
sap/opu/odata/sap/Ztest_srv/MyEntityCollection(key1='<value of key1>',key2='<value of key2>')
Additionally, I have reset the model caches (/IWFND/CACHE_CLEANUP and /IWBEP/CACHE_CLEANUP) and used the Gateway client (/IWFND/GW_CLIENT) in order to chec the metadata. The metadata is now displaying the <key> properties within <EntityType> segment.
This bug fixing has to be repeated each time the model will be re-generated within SEGW.