Azure Table Storage (as of now) builds two indexes that makes lookups faster/fast which are the PartitionKey and Rowkey. Querying by the rowkey only would make sense if you had one partition (or very few partitions). If you have a lot of partitions and you just specify the rowkey it will have to look up all partitions.
For example, say you stored social security numbers in table storage. Let's look at two scenarios...
A good partition strategy might be to have the state as the partition key. In your query if you just pass PartitionKey='CA' & RowKey ='123456789' Azure Table Storage knows the partition to go to and the exact row in that partition. If your query was just: RowKey = '123456789', Azure Table storage has to scan all the partitions (50 states) to find the matching RowKey.
Another strategy might be one huge single partition with the rowkeys as social security numbers. If your query: RowKey = '123456789' then Azure Table storage can use the index on the rowkey to lookup the value pretty quick. Since there is only one partition, the PartitionKey not being part of the query won't slow it down (or at least should not).
Also remember, Azure Table Storage internally can put partitions on different drives for optimizations for heavy usage. So specifying the partitionkey for large tables with lots of partitions is ideal.