I am not 100% sure if it matters if you aren't using CodeFirst (try removing it and see if it runs ok). However, if you are using CodeFirst and using SQLCE 4.0 as your main database then you need to keep it. See the docs:
If you don’t set a default connection factory, Code First uses the SqlConnectionFactory, pointing to .\SQLEXPRESS. SqlConnectionFactory also has a constructor that allows you to override parts of the connection string. If you want to use a SQL Server instance other than .\SQLEXPRESS you can use this constructor to set the server.