Oh, you're not doing anything wrong, it looks like we do have a bug.
What's happening is that when the first query executed for a given type (like Customer) is one which forces immediate execution, i.e., a query using First, Max, Count, etc., then we're not correctly doing some initialization required to handle related entities. When we attempt to retrieve the related entities and none are returned we get the unhandled sequence exception you see. You've found a unique case, since if you'd first queried for a Customer using deferred execution the error wouldn't have occurred; also if you'd done a First() query on a customer having orders the problem wouldn't have surfaced.
The good news - due to some refactoring we've already done in query processing - is that this problem has already been fixed in our latest bits.
For your purposes right now, I guess the workaround could be to try to avoid using "immediate execution" type of queries. In this case, a ToList() followed by a First(), like this:
aManager.Customers.Where(c => c.CustomerID == "PARIS").ToList().First();
would avoid the problem.
Thanks for bringing this to our attention.