I have been playing around with the EF to see what it can handle. Also many articles and posts explain the various scenarios in which the EF can be used, however if miss the
Though both SQL CE 3.5 SP1 and Entity Framework 4.0 Beta 1 both support Identity Columns, using these two products together (at least up to the versions listed), Identity Columns are not supported. You will be required to set primary keys on your own.
Other than that, I've been enjoying EF with SQL CE.