The problem with the Compact Framework generally is that it doesn't support MSIL generation. Frameworks such as the Entity Framework often rely on generating MSIL at runtime. This is an expensive operation and really doesn't fit inside any device. As such, object relational mappers really need to be geared towards the Compact Framework specifically, to support it. The Entity Framework, being part of the Enterprise Library, is geared towards server software.
Anyway, there is some hope of future support: msdn support forums.
In the meantime you can pursue other options. For example, here are some interesting alternatives that use SQLite:
CatNap
sqlite-net
Good luck!