Jacob,
I had one customer who wanted a web farm for his ASP.NET application. He wanted a sql or state server so that he could fail over his application
I suggested two alternatives:
(1) You are correct, The PersistenceManager os not serializable.
Persist the EntitySets in the Cache. An EntitySet is serializable
(2) Always flush the Entity Cache to the database. This works, but basically gives up on using the Cache and gets everything from the database.
In the end, we convinced the customer the needs of his application could be handled sufficiently by using session state and that there was no good solution using a sql or state server,
David