Programming an application with Entity Framework and Code First does not mean you won't write any raw SQL anymore. C# code is great for the basic CRUD operations, but as the application grows, there are cases when you need to write complex queries containing various joins (on multiple columns) and aggregate functions
When you're working on an application which uses some sort of database, there is always a point when you need to test some functionality directly on the database server - e.g. complex LINQ queries, transactions handling etc.