If you are running x64 then you'll need to install the following:

Microsoft SQL Server Compact 3.5 Service Pack 1 and Synchronization Services for ADO.NET version 1.0 Service Pack 1 for Windows Desktop

This threw me for a loop because my form would simply load without any data.  As a result I would be stepping through code (stepping over my data layer) and my form would activate with nothing in it.   Drilling down deeper I discovered the view would activate on line 228 below:

  222 public DataBindingList<T> ExecuteList<T>(string sqlCommand, ListDelegate<T> listDelegate)

  223 {

  224     try

  225     {

  226         DataBindingList<T> dataList = new DataBindingList<T>();

  227 

  228         using (SqlCeConnection conn = new SqlCeConnection(ConnString))

  229         {

This had me scratching my head wondering if some of the Async processes were messing with my debugger.   Since it worked on the 32-bit development box (which I don't currently have with me) I had no reason to suspect foul play on my x64 development box - this misconception resullted in much head-banging time.   

I should have payed attention to this error earlier, as it would reveal itself, but more towards the end of the debugging session and not on line 228 above; it would reveal itself as a messagebox not attached to any particular line of code.  I wrongly had suspected corrupt dlls as I am dabbling in a multi-targeting application (code shared between mobile and winforms).   It wasn't until I placed the try/catch (shown above) that the error revealed itself within the scope of the process.

Hopefully you'll hit this blog before the others because Head-banging occurred longer than it needed as I ended up chasing rouge blogs on this topic that had me going in circles until I figured out they were dead-ends. In the end the fix was quite simple - simply install SP1 and everything started working.