No connection string named ‘MyApplicationEntities’ could be found in the application config file

Ah, figured this out accidentally.

I had to remove

public MasterEntities()
    : base("name=MyApplicationEntities")
    //      ^^^^^
{
}

to

public MasterEntities()
    : base("MyApplicationEntities")
{
}

EF 4.3 does not like connection string being called name=xxxxx