WCF proxy classes ... sometimes?

I have the following classes:

public abstract class BaseClass1 {}
public class ConcreteClass1 : BaseClass1 {}
public abstract class BaseClass2 : BaseClass1 {}
public class ConcreteClass2 : BaseClass2 {}

The WCF service provides 2 methods:

public ConcreteClass1 Method1() {...}
public ConcreteClass2 Method2() {...}

When it consumes this WCF service with VS2012, the WCF client code correctly returns my "generic" ConcreteClass1, but for some reason insists on creating a PROXY class for ConcreteClass2?

I don’t understand why (although I ALWAYS note that I want to use ALL common assemblies), sometimes it generates proxy classes for me, and sometimes it does what I ask. I do not think that I have ever seen that it generates proxy classes for some types in the assembly, but not for others.

I am completely confused!

Any help would be greatly appreciated ...