Generate SQL Server Express database from Entity Framework 4 model

I am able to auto-generate a SQL Server CE 4.0 *.sdf file using code-first generation as explained by Scott Guthrie here. The connection string for the same is as follows:

However if I try to generate an mdf instead using the following connection string, it fails to do so with the following error - "The provider did not return a ProviderManifestToken string.".

Even directly hooking into a SQLEXPRESS instance using the following connection string fails

Does EF 4 only support SQL CE 4.0 for database creation from a model for now or am I doing something wrong here?