matthiash's questions

I am to get access to a remote SFTP server. The admin has created a user for me, and generated a public/private key pair for me. Then he securely sent me the private key file, which I use for authentication. I believe this is not good, I should be the one to generate the key pair, and give the public key to him. But I'm not able to think of any good reason why this is bad, if I use this key only to log into that server, no other servers. Are there any such reasons?