I would like to know if there is any issue using GW white primer also?
There is no difference between the primer colors (white, gray, black). It's really all about preference. Some people like to use white prime for bright coloured armies such as Blood Angels or Imperial Fists, as bright colours tend to blend in better on a white model.
Some people like using gray primer on vehicles. The idea is that if paint chips/flakes off, then you'll have a gray 'car primer' undercoat type effect.
Black is usually used by darker colored armies or if you want to "paint around" it. Essentially whatever parts are supposed to be black (knee joints, guns, panels) are already black and so you just paint around them and leave them as is.
I've read on several Pro Painter websites that for the most part they always use black, regardless of the colour they are going to paint.