That depends on what texture the walls will be; knockdown, spatter, orangepeel, skiptrowel, sante fe or smoothwall?
A heavy primer that doesn't lay down and leaves roller stipple won't enhance the look of a smooth wall or sante fe but shouldn't make too much difference on some of the other textures. A small sample in an inconspicuous area or a spare piece of sheetrock might be in order.
The primer can also be thinned if it's that heavy.
...Unless you mean a
textured primer. That would be a different animal altogether...