Has anyone played around with linking primary/foreign keys between tables created by dagster in a programmatic way?

I haven't, but I can see how this can be sticky. If you're using I/O managers, I don't believe it's currently supported, but you can write the constraint DML yourself with the Snowflake resource in a separate op. Does Snowflake use constraints for micropartition pruning yet? Last I checked, constraints were semantic and not used for optimization, so I don't think you'd be losing much by altering the table after building/appending to it.

Nah, I think the only performance benefit is speeding up joins where it is able to leverage many-to-one relationships