Yeah, I agree. Lazy loading in ORMs what happens when people want OO databases. And by OO databases, I mean everything to act like it's in an in-memory collection.
Sounds nice, but in reality, latencies, networks, massive data sets, atomicity of operations, and a whole host of other annoyances get in the way.
... so it ends up being simpler and easier in the long run to be very explicit about your interactions with data stores. Took me a long time to get to this point.