Ok, so in the generated code it also should be mentioned that the field is an identity field.
Please check the FactoryClasses\EntityFieldFactory.cs/vb file and browse down to the create method for the entity in question. Then check the field in question and it should have at the end of the call "SCOPE_IDENTITY()" instead of "". If not, it's not generated as being an identity field. This can for example be caused by the fact that the file was readonly when you generated the code (not checked out of VSS for example).
If it does, please check that the application you're using the code with has the latest compiled assembly of the generated code.
Could you also paste here the code you use to save the entities? Thanks.