EF Core .Include being ignored (no logged warning as expected if EF Core detects it)

Program.cs

using Microsoft.EntityFrameworkCore;
using System.Linq;

namespace EFIncludeQueryable
{
    public class TestEntityA
    {
        public int Id { get; set; }
        public int TestEntityBId { get; set; }
        public TestEntityB TestEntityB { get; set; }

        public string BProperty { get { return TestEntityB.Property; } }
    }

    public class TestEntityB
    {
        public int Id { get; set; }
        public string Property { get; set; }
    }
    public class MyDbContext : DbContext
    {
        protected override void OnConfiguring(DbContextOptionsBuilder optionsBuilder)
        {
            optionsBuilder.UseSqlite("Data Source=testcase.db");
        }

        public DbSet<TestEntityA> TestEntityAs { get; set; }
        public DbSet<TestEntityB> TestEntityBs { get; set; }
    }
    class Program
    {
        static void Main(string[] args)
        {
            using (var context = new MyDbContext())
            {
                context.Database.EnsureCreated();

                if (!context.TestEntityAs.Any())
                {
                    context.TestEntityBs.Add(new TestEntityB { Property = "Hello World" });
                    context.SaveChanges();

                    context.TestEntityAs.Add(new TestEntityA { TestEntityBId = 1 });
                    context.SaveChanges();
                }
            }

            // Works fine, .ToList() appears to be honouring .Include
            using (var context = new MyDbContext())
                context.TestEntityAs.Include(m => m.TestEntityB).ToList().Any(m => m.BProperty == "Hello World");

            // Does not work, TestEntityB is null and so throws
            using (var context = new MyDbContext())
                context.TestEntityAs.Include(m => m.TestEntityB).Any(m => m.BProperty == "Hello World");
        }
    }
}