The thing is: the reference documentation states that this should work. However, going with the approach from the reference documentation just falls apart in stateless sessions without any kind of work around (because you're disabling normal transient tracking).
Still I think there should be an option to get this to work. If I'm correct, loading is performed in TwoPhaseLoad.InitializeEntity and it gives at least a IPersistenceContext (SetEntryStatus) and IEntityPersister (AfterInitialize) a chance to perform extra actions on the entity. It seems that I can't take control over the IPersistenceContext and using IEntityPersister would become very cumbersome because I would have to define persisters for all types of existing persisters and specify them in the schema.
If I'm missing an option, suggestions are very welcome.