I currently working on a application that use Entity Framework 4.1 (code first) and SQL Server CE 4.0. One of the new things I really like from SQL Server CE 4.0 are the com
Keep an ObjectContext / connection open for the liftime of your app. EF is not ideal for bulk inserts, use SqlCeResultSet for that for max perf.
I decided to go the "generate my own key" way as a workaround. I added the required features for key generation to my DBContext class.
If Microsoft change something on this behavior, I switch back to auto generation.