"This returns the one city for that address."
If there is only one city related to the entities satisfying Address, you will only get one. (Should there be more?)
As for your question:
"how do I return all the cities as part of a eager load..."
you can use.
and thereafter refer to a cacheonly query to retrieve the cities. Or even:
"and store it as a property on the Address object."
not sure what you mean here. Can you clarify?
"I want to use this property to databind a combobox itemssource in a datagrid for user selection."
var cities = EntityManager.Cities.Execute();
comboBox.ItemSource = cities;
I hope this helps.