My opinion is that the MyXXXEntity don't bring to regular adapter scenario anymore than specifically what you're looking for in terms of inheritence:
they derive from the orginal entities and provide shadowed members so that the related entities, factories etc... don't get you back to the parent classes.
Of course you may think you don't want to get into the templating stuff nor update the generated code anywhere outside of the dedicated regions, but well, if you are to rewrite your own "myxxxentities" to add your lazy loading logic, IMHO you'd better generate with a two class scenario and make the additional code yours, or better simply add your lazyloading logic to the derived class templates.
In the latter case, you can regenerate safely, but even in the former case (update the generated derived classes), I reckon you should be able to regenerate a single class scenario, and keep the derived classes as your own (maybe I'm wrong on that point, but in any case, it will give you most of the code you are to write manually)