Entity Framework and multi-tenancy database design
On a quick scan of EF's error messages, it clearly doesn't like the way you're setting up compound keys, and I think it's probably nudging you in the right direction. Give some thought again to what makes your primary keys unique. Is the OrderID alone not unique, without a CompanyID? Is a ProductID not unique, without a CompanyID? An OrderLine certainly should be unique without a CompanyID, since an OrderLine should be associated only with a single Order.
If you truly need the CompanyID for all of these, which probably means that the company in question is supplying you with ProductID and OrderID, then you might want to go a different direction, and generate your own primary keys that are not intrinsic to the data. Simply set up an auto-increment column for your primary key, and let these be the internal OrderID, OrderLineID, ProductID, CompanyID, etc. At that point, the OrderLine won't need the customer's OrderID or CompanyID; the foreign key reference to the Order would be its starting point. (And the CustomerID should never be an attribute of an order line; it's an attribute of the order, not the order line.)
Compound keys are just messy. Try designing the model without them, and see if it simplifies things.
I think that the error is not in the design. Is not in the EF. Is in Sql Server relations.
Read the EF message:
The relationship 'FK_Order_Customer' uses the set of foreign keys '{CustomerId, CompanyId}' that are partially contained in the set of primary keys '{OrderId, CompanyId}' of the table 'Order'. The set of foreign keys must be fully contained in the set of primary keys, or fully not contained in the set of primary keys to be mapped to a model.
ERROR
Actualy the relation betwen Order and Customer use only one field (probably you dragged with the mouse the field "CustomerId" from teh Order table to the "Id" of the Customer table)
SOLUTION
Right click on the wire that connect Order and Customer and in the relation add also the CompanyId
PS: The design is correct.
Putting the CompanyId in each table is rith solution in multi-tenant architecture because help to scale (usualy always want to select only records from the loggedIn company).
I think storing the company number in each of the tables is hurting you more than helping. I can understand why you want to do this (as the programmer/dba you can just go into any table and 'see' what data belongs to who which is comforting), but it is getting in the way of you setting up the database the way it should be.
Avoid the compound keys and your design gets a whole lot simpler.