I need to do a look up of several entities by collection of row keys (in one partition). What is the proper query to do it?
The issue with querying only by rowkey (which I'm interpreting the original question to be alluding to): You'll end up doing a table scan, as that rowkey could exist in any partition. And, if you executed those queries individually, you'd end up doing a table scan for each (even with Task Parallel Library, as suggested by @GlennFerrieLive in a comment to the original question).
You could specify a range for the rowkey with $filter (as explained in this article), or a discrete list of row keys (limited to 15 individual comparisons within the filter). This should end up with just one table scan, but still... a table scan.
If at all possible to specify a partitionkey in your query, you should do so, as it will make your queries return much faster. Ok, much faster is relative, as I have no idea of the quantity of data you're storing.
EDIT: Per update via comment, since you know partitionkey, you could follow the guidance above specifying either a rowkey range or discrete rowkeys within a single filter. Or... if you have many more rowkeys, you could consider execute these via TPL (which now makes sense given there's no table scan), either as single rowkey per filter or grouping into ranges or filtered list.