Perché questo Include non funziona?

Non credo che il problema sia nel codice che stai mostrando. Ho creato un'app console da ciò che hai inserito sopra e ha prodotto ciò che era nel database. Ecco l'intera app:

namespace ExampleCF
{
    public class Foo
    {
        public int FooId { get; set; }
        public virtual List<Bar> Bars { get; set; }
    }

    public class Bar
    {
        public int BarId { get; set; }
        public virtual Foo Foo { get; set; }
        public int FooId { get; set; }
        public virtual List<Employee> Employees { get; set; }
    }

    public class Employee
    {
        public int EmployeeId { get; set; }
        public int BarId { get; set; }
        public virtual Bar Bar { get; set; }
        public int BankId { get; set; }
        public virtual Bank Bank { get; set; }
        public int PositionId { get; set; }
        public virtual Position Position { get; set; }
        public string Name { get; set; }
    }

    public class Bank
    {
        public int BankId { get; set; }
        public string Name { get; set; }
    }

    public class Position
    {
        public int PositionId { get; set; }
        public string Name { get; set; }
    }

    public class Model : DbContext
    {
        public DbSet<Foo> Foos { get; set; }
        public DbSet<Bar> Bars { get; set; }
        public DbSet<Employee> Employees { get; set; }
        public DbSet<Bank> Banks { get; set; }
        public DbSet<Position> Positions { get; set; }

        public Model()
        {
            Configuration.LazyLoadingEnabled = false;
        }
    }

    class Program
    {
        static void Main(string[] args)
        {
            Model context = new Model();
            var exp = new Collection<Expression<Func<Foo, object>>>();

            Foo foo = new Foo();
            Bar bar = new Bar();
            Employee emp = new Employee() { Name = "employee" };
            Bank bank = new Bank() { Name = "bank" };
            Position position = new Position() { Name = "position" };
            foo.Bars = new List<Bar>();
            foo.Bars.Add(bar);
            bar.Employees = new List<Employee>();
            bar.Employees.Add(emp);
            emp.Position = position;
            emp.Bank = bank;
            context.Foos.Add(foo);
            context.SaveChanges();

            exp.Add(f => f.Bars.Select(b => b.Employees.Select(e => e.Position)));
            exp.Add(f => f.Bars.Select(b => b.Employees.Select(e => e.Bank)));

            DbSet<Foo> dbSet = context.Set<Foo>();
            IQueryable<Foo> query = dbSet;

            if (exp != null)
            {
                foreach (var incProp in exp)
                {
                    query = query.Include(incProp);
                }
            }

            var first = query.ToList().FirstOrDefault();
            var firstEmp = first.Bars.First().Employees.First();
            Console.WriteLine(String.Format("{0} | {1} | {2}", firstEmp.Name, firstEmp.Bank.Name, firstEmp.Position.Name));
        }
    }

}

output:employee | bank |position

C'è qualcos'altro che stai aggiungendo alla query o forse stai creando in qualche modo un tipo anonimo?