I've developed a new Dialect for Sql Server Everywhere edition. It seems that the MsSql2005Dialect does not work with this embedded database because it does not support more then one sql statement on each command and because the identity column may be selected only using @@IDENTITY scope variable.
The new dialect resolve this issue and must be used in collaboration with the patch released for the SqlServerCeDriver
http://jira.nhibernate.org/browse/NH-673
NH-708provides a more complete implementation.