Could not format node 'Value' for execution as SQL

I've stumbled upon a very strange LINQ to SQL behaviour / bug, that I just can't understand.

Let's take the following tables as an example: Customers -> Orders -> Details.
Each table is a subtable of the previous table, with a regular Primary-Foreign key relationship (1 to many).

If I execute the follow query:

var q = from c in context.Customers
        select (c.Orders.FirstOrDefault() ?? new Order()).Details.Count();

Then I get an exception: Could not format node 'Value' for execution as SQL.

But the following queries do not throw an exception:

var q = from c in context.Customers
        select (c.Orders.FirstOrDefault() ?? new Order()).OrderDateTime;
var q = from c in context.Customers
        select (new Order()).Details.Count();

If I change my primary query as follows, I don't get an exception:

var q = from r in context.Customers.ToList()
        select (c.Orders.FirstOrDefault() ?? new Order()).Details.Count();

Now I could understand that the last query works, because of the following logic:
Since there is no mapping of "new Order()" to SQL (I'm guessing here), I need to work on a local list instead.

But what I can't understand is why do the other two queries work?!?

I could potentially accept working with the "local" version of context.Customers.ToList(), but how to speed up the query?
For instance in the last query example, I'm pretty sure that each select will cause a new SQL query to be executed to retrieve the Orders. Now I could avoid lazy loading by using DataLoadOptions, but then I would be retrieving thousands of Order rows for no reason what so ever (I only need the first row)...
If I could execute the entire query in one SQL statement as I would like (my first query example), then the SQL engine itself would be smart enough