If Puerto Ricans are not allowed to vote for the President, why doing Primaries?

Because the Electoral College is based on the number of senators and representatives the individual states have and Puerto Rico has neither, residents of that commonwealth do not vote in national elections. BUT, primaries are not national elections, in fact they are truly private enterprises sponsored by the various political parties. Primaries elect representatives to the party convention. The number of delegates from each jurisdiction recognized by the particular party is up to the party. So if the GOP wants to have delegates from Puerto Rico (or Samoa) at their convention, they can. And the PR GOP can select how those delegates are chosen and implement the method chosen. Hence a primary in Puerto Rico. And the Puerto Rican Republicans, while they have no voice in who becomes President, do have some say in who gets nominated for that office.

The short answer is because the parties wanted the voters there to.

The primary system is set up by each individual party, not the state or federal government.

The reason is because the presidential election is governed by federal law, whereas the primaries are governed by political parties.
In other words, political parties can decide who their party nominee is by whatever criteria they choose. If they want to include US territories, such as Puerto Rico - that's up to them. If they'd like to include the citizens of England, or Angola, that's up to them.