NServiceBus Saga persisted with NHibernate errors with "The following types may not be used as proxies"

If you use an NServiceBus Saga persisted with NHibernate and you use the Saga Data as per the sample code it errors with "The following types may not be used as proxies"

The sample code is:

public class OrderSagaData :
    IContainSagaData
{
    public Guid Id { get; set; }
    public string Originator { get; set; }
    public string OriginalMessageId { get; set; }
    [Unique]
    public string OrderId { get; set; }
}

The solution is to mark all the properties as virtual.