How to perform Insert/Update/Delete via LINQ to Entities (Entity Framework) across Many-to-Many or 1-to-Many relation (using ADO.NET Data Service)?

I have a Silverlight application which uses ADO.NET Data Services and the Entity Framework to interact with a SQL Server Database.  In the SQL Server database I have:  User, Role, and User_Role (join) tables. I successfully use the ADO.NET Entity Framework Wizard to generate the Model from the database in my Silverlight application server-side code (.NET), and the resulting EDMX diagram properly shows a many-to-many relationship between the User and Role table.  So this part is working ok.

Then my Silverlight/C# client-side code is set up to where I have a Service Reference (Proxy) to the server-side ADO.NET Data Service which accesses the Entity Framework EDMX definitions (also on the server-side, along with the database).

I am able to successfully create a User or a Role to the database.  The problem comes when I try to ADD ROLES TO A USER, and THEN save that user to the database.

First, here is an example of what DOES work in my Silverlight C# code:

Proxy.Entities proxy = new Proxy.Entities(new Uri("DataService.svc", UriKind.Relative));

Proxy.User user = new Proxy.User();
user.Username = UsernameTB.Text;
user.FirstName = FirstNameTB.Text;
user.LastName = LastNameTB.Text;
user.CreatedDate = DateTime.Now;
user.UpdatedDate = DateTime.Now;
proxy.AddObject("User", user);
proxy.BeginSaveChanges(

    SaveChangesOptions.None,

    (asyncResult) => { proxy.EndSaveChanges(asyncResult); },

    null

);

Now, here is an example of what DOES NOT work (note the lines where I say "selectedUser.Role.Add( )", and also note that "selectedUser" is a user that is already in the database and has been successfully queried/retrieved in another part of the client-side code):

public UpdateUserRoles(Proxy.User selectedUser, List<Proxy.Role> roles)
{

    Proxy.Entities proxy = new Proxy.Entities(new Uri("DataService.svc", UriKind.Relative));

    proxy.AttachTo("User", selectedUser);

    selectedUser.Role.Add(roles[0]);

    selectedUser.Role.Add(roles[1]);

    selectedUser.Role.Add(roles[2]);

    proxy.UpdateObject(selectedUser);
    proxy.BeginSaveChanges(

        SaveChangesOptions.Batch,

        (asyncResult) => { proxy.EndSaveChanges(asyncResult); },

        null

    );

}

In this second example, I would expect the "User_Role" join table in the database to be automatically updated with the new User/Role entries (corresponding to adding specific Roles to a User).  In other words, there should be a new ROW in the User_Role join database table for every new Role I add to a User.  But for some reason, the User_Role join table does not get updated accordingly.  It remains blank, without any new ROWs added.  Furthermore, the same issue applies to tables which are related via a 1-to-many relationship.  Please let me know if you see something that I may be missing here.  Any help would be greatly appreciated.  Thank you.