Entity Framework entity list always null

I have the following two models:

public class Note
{
    [Key]
    [DatabaseGenerated(DatabaseGeneratedOption.None)]
    public string Id { get; private set; }

    [Required] public string Creator { get; set; }

    public NoteProfile Profile { get; set; }

    [Required(AllowEmptyStrings = true)]
    [DisplayFormat(ConvertEmptyStringToNull = false)]
    public string Content { get; set; }

    public static Note Create()
    {
        return new Note();
    }

    public Note GenerateId()
    {
        this.Id = Guid.NewGuid().ToString();
        return this;
    }

    public Note Finalize()
    {
        this.GenerateId();
        this.Profile = NoteProfile.Create().Finalize();

        return this;
    }
}

And:

public class User
{
    [Key]
    [DatabaseGenerated(DatabaseGeneratedOption.None)]
    public string Id { get; private set; }

    [ForeignKey("Creator")]
    [Required]
    public List<Note> Notes { get; set; }

    public static User Create()
    {
        return new User();
    }

    public User GenerateId()
    {
        this.Id = Guid.NewGuid().ToString();
        return this;
    }

    public User Finalize()
    {
        this.GenerateId();
        if (this.Notes == null)
        {
            this.Notes = new List<Note>();
        }

        return this;
    }
}

My problem is this: Whenever a new instance of User is created and persisted to the database via EF, when I later get the entity back from the DB, the List of Notes is always null.

I've managed to track down the bug to the following method:

public static bool AddUser(Models.API.Requests.POST.User post)
{
    var entity = User.Create().Finalize();
        List<Note> user1;
        List<Note> user2;
        using (var context = new Context())
        {
            context.Users.Add(entity);
            context.SaveChanges();
            user1 = context.Users.First(user => user.Id == entity.Id).Notes;
        }

        using (var context = new Context())
        {
            user2 = context.Users.First(user => user.Id == entity.Id).Notes;
        }

        return true;

    return true;
}

Inspecting user1 and user2 via the debugger reveals that user1, which was created before the first context was disposed of, is an initialized List<Note> with 0 items, whereas user2, which was created in a new context, is null.

My context is very simple:

public class Context : DbContext
{
    public Context(string connectionString) : this(new MySqlConnection(connectionString), false)
    {
    }

    public Context(DbConnection existing, bool contextOwnsConfig) : base(existing, contextOwnsConfig)
    {
    }

    public DbSet<Note> Notes { get; set; }

    public DbSet<User> Users { get; set; }
}

The DB provider is MySQL. Inspecting the tables EF generates in MySQL Workbench reveals that the foreign key is indeed there:

Adding new instances of Note with their Creator property set equal to my user's Id yields the exact same result.

Why is this happening?