In Identity 2.0, we had a lot of flexibility in extending the Identity* entities. That flexibility gave us further flexibility in how EF code first migrations interacted with Identity 2.0.

That seems to be completely missing in Identity 3.0.
For one, the following:

IdentityUser<Key, UserLogin, UserRole, UserClaim>

is changed to:

IdentityUser<Key>

This means I can no longer inherit from UserLogin, UserRole, and UserClaim and have the changes get migrated to the database using EF code first migrations.

For example:

public class MyUserRole : IdentityUserRole<Guid>
public class MyUserLogin : IdentityUserLogin<Guid>
public class MyUserClaim : IdentityUserClaim<Guid>
public class MyUser : IdentityUser<Guid, MyUserLogin, MyUserRole, MyUserClaim>
public class MyRole : IdentityRole<Guid, MyUserRole>
public class MyDataContext : DbContext (I set up the Identity entities in this class)