You need to make the LegalEntity as virtual:
[DataContract]
public class CounterpartyFrequency : EntityBase
{
[DataMember]
[Key]
public int CounterpartyFrequencyId { get; set; }
[DataMember]
public string LegalEntityId { get; set; }
[ForeignKey("LegalEntityId")]
public virtual LegalEntity LegalEntity { get; set; }
}