It took me a while, but I found one reference to figure out the issue. It is on page 143 of Scott Hillier’s book “Professional Business Connectivity Services in SharePoint 2010” (I found it via the google query “loadquery external list”)
The work around was that you have to use LoadQuery with External lists, Load is not supported. Not sure where this is documented, but it took me quite a while to figure that one out.
Hope that helps some one?