It turns out that their needs to be a redirect for Entity Framework 5.0 (4.4.0.0 since I was using .Net 4.0) in the web.config. But, since my RIA Services were in a web application project that was not my root project the code wasn't generating.
Once I added the redirect to the web.config of the web application with the RIA services in it, the context code was correctly generated.