Zzz-5-zzz and Gert Arnold's remark helped me choose the appropriate path.
Object Framework built the entity after I added a column in addition to the two main keys. For which EF Database First will construct an object, consider the following example table definition:
create table [dbo].[CustomerRequests] ( [CustomerId] int not null, [RequestId] int not null, [TimestampUtc] datetime not null, constraint [PK_CustomerRequests] primary key clustered ([CustomerId] asc, [RequestId] asc), constraint [FK_CustomerRequests_Customers] foreign key ([CustomerId]) references [dbo].[Customers] ([CustomerId]), constraint [FK_CustomerRequests_Requests] foreign key ([RequestId]) references [dbo].[Requests] ([RequestId]) );