So, it appears out that Visual Studio will not autoformat LINQ queries, most of the time. There are a few occasions where it appears that VS autoformatting makes things worse, but you can avoid those by using these steps.
However, if you use the correct keypresses when building queries, you can have it manually format correctly, and Visual Studio will NOT reformat it.
I've automated this using a vsvim macro, but it will work with any environment.