Identity columns have certain limitations with SDP . Here is what the documentation says . 

• Identity columns are not supported with tables that are the target of AUTO CDC processing.

Because identity columns aren’t supported on targets of AUTO CDC (create_auto_cdc_from_snapshot_flow/APPLY CHANGES), the engine won’t generate values during the SCD2 updates—hence NULLs in the identity column.

If you can, use a deterministic surrogate key (for example, a hash of the natural/business key) so SCD2 can stay stable across merges