What are the downsides to turning off ProxyCreationEnabled for CTP5 of EF code first

The only way that my WCF service can return classes from a code first model is by setting the ProxyCreationEnable to false using the code below.

((IObjectContextAdapter)MyDb).ObjectContext.ContextOptions.ProxyCreationEnable = false;

What are the negative consequences of doing this? One gain is that I can at least get these dynamic types serialized so they can be sent over the wire using WCF.