It sounds like EF has identified the User_Security_Role table as an unneeded table in a many-many relationship (which it probably is). In this case, you would write your query as one of the following:
var usr = From u in _imEntities.User_Identities
where u.Roles.Any(r => r.Role_ID == 3)
select u;
OR
var usr = from r in _imEntities.System_Roles
where r.Role_ID == 3
from u in r.UserSecurities
select u;