Yes that's possible, the data send across is just XML anyway, so that's not a problem. The code generated for the CE part is generated from the same LLBLGen Pro project as the server side.
Just take a look at it by using the demo of LLBLGen Pro: create a project from a sqlserver db, generate code using that for sqlserver 2005 and then also generate code for CE using the platform selector in the code generation dialog.
Be sure to select adapter.
We've included a page in the manual which explains these steps better. (Compact Framework / SqlCE support)
(edit) However if you want to connect to the Sqlserver db directly from the handheld, that's not possible. We support sql ce on windows CE but not sqlserver 200x connections from windows CE/pocketpc.