Why is my Entity Framework Code First proxy collection null and why can't I set it?

I am using DBContext and have two classes whose properties are all virtual. I can see in the debugger that I am getting a proxy object when I query the context. However, a collection property is still null when I try to add to it. I thought that the proxy would ensure that collection is initialized.

Because my Poco object can be used outside of its data context, I added a check for the collection being null in the constructor and create it if necessary:

public class DanceStyle
{
    public DanceStyle()
    {
        if (DanceEvents == null)
        {
            DanceEvents = new Collection<DanceEvent>();
        }
    }
    ...
    public virtual ICollection<DanceEvent> DanceEvents { get; set; }
}

That works outside the data context but if I retrieve an object using a query, although the test is true, when I try to set it, I get following exception: 'The property 'DanceEvents' on type 'DanceStyle_B6089AE40D178593955F1328A70EAA3D8F0F01DDE9F9FBD615F60A34F9178B94' cannot be set because the collection is already set to an EntityCollection.'

I can see it is null and I cannot add to it, but neither can I set it to a collection because the proxy says it is already set. Therefore I cannot use it. I'm confused.

Here is the DanceEvent class:

public class DanceEvent
{
    public DanceEvent()
    {
        if (DanceStyles == null)
        {
            DanceStyles = new Collection<DanceStyle>();
        }
    }
    ...
    public virtual ICollection<DanceStyle> DanceStyles { get; set; }
}

I have omitted the other value-type properties from the code above. I have no other mappings for those classes in the context class.