You're certainly missing something but it's not incredibly obvious.
Basically, the Entities package has changed significantly in the
develop branch and the NuGet packages haven't been uploaded to NuGet for quite some time.
Also, I suspect you where reading this documentation. The good news is that we have some documentation now. The bad news is that it was written during the development of the new Entities package that hasn't been officially released yet.
I realize it is quite confusing that the docs are out of sync with the NuGet packages. It's something I need to rectify.
In the mean time, I highly recommend you download the source and build the NuGet packages yourself. It's actually pretty easy as long as you clone the repository using git and run
build.ps1. A lot of improvements have been made over the old Entities package which had quite a few issues.