问题
I finally found some resources and a solution. I will share it here.
回答1:
It is documented here that this indeed is a feature and not a bug.
In this excellent series of blogs you can find anything you always wanted to know, but never dared to ask about SQLServerCompact 4.0
The author of these blogs has made a wonderful Add-In for Visual Studio 2010 that adds Entity Data Model wizard functionality to create a model from a SQLServerCompact 4.0 database for any type of project.
来源：https://stackoverflow.com/questions/6381651/entity-data-model-wizard-in-visual-studio-2010-sp1-lacks-support-for-entitysqlse