Jeroen, i think this is a bug in the current Efficy build we are using.
I have tested all custom entities and it's working fine like the standard ones, but not instantly (one step later).
I've tested this and in the latest build version this is working properly
I guess Build 5688 has the bugfix for this:
Display most recent entity in desktop recents, even if currently being displayed in
consult too - CFT-2015-57150