One option is to fetch the entity then add it to the new collection.
Dim adapter As New SQLSpecific.DataAccessAdapter
Dim toReturn As New EntityCollection(New PublishedUserAlertDetailEntityFactory)
Dim detail as new PublishedUserAlertDetail(detailIDs(0))
adapter.FetchEntity(detail)
toReturn.Add(detail)
Another would be to use FieldCompareRangePredicate
' example from Docs
' VB.NET
Dim values As Integer() = New Integer(2) {1, 2, 5}
bucket.PredicateExpression.Add(New FieldCompareRangePredicate( _
OrderFields.OrderDate, Nothing, values))