OpenConnection() is called quite a lot from Massive, that's not very good if you're using it with a sql ce db since each openconnection is quite costly. ~100 ms on my pc. I don't know how to deal with this the best way really. For now I changed it to keep the connection open.
If you're worried about milliseconds using SQL CE is probably the wrong idea. Either way there's an override now to pass in an open connection if you like.