I am trying to generate the E-R Diagram of Wordpress using the 'Reverse Engineer' feature. There is a slight obstacle though. The diagram does not show the relationships between the entities. Is this the way it's supposed to work or am I missing something?
The EER diagram is correct. There should be no relationships because WordPress does not have any constraints. The EER diagram shown in the codex is only for reference (it's a dummy EER diagram). You must rely on other logical operations to make sure you have no orphaned data.
Please note that within the standard installation of WordPress no integrity between the tables is enforced e.g. between posts and comments. If you are creating a plugin or extension that manipulates the WordPress database, your code should do the housekeeping so that no orphan records remain in the tables e.g. by removing records in other tables with a set of SQL commands when foreign keys are deleted (Don't forget to remind users to backup before such operations).