I ran into the same issue. I needed to use logcdf to implement a model with left censored data. A convenience function for something like gamma_lcdf hasn’t been implemented yet, so I wanted to use logcdf rather than write my own, but encountered this problem.
Edit: Adding a little more detail.
I wanted to implement a censored model with pm.Potential, as is generally recommended. I was looking to implement something convenient like:
left_cens = pm.Potential('left_censored', pm.Gamma.dist(alpha, beta).logcdf(cens))
But encountered the same error of gradient being undefined. I believe gradient is only being used for NUTS sampling. If I set step=pm.Metropolis() like I might have to do if I were dealing with a likelihood that is not differentiable, then I can sample and nothing breaks. I’d just prefer to use NUTS while sampling for obvious reasons.