How do we express the relationships between EJB Entity Beans in UML?
I wish I had a quick answer for you, but the real answer lie in the activities of the JSR 26 committee. This group is currently working on a formal extension (profile) to the UML for modeling EJBs. I've seen some draft work, but can't say with any authority what the final outcome will be.
With that comment aside, I'd suggest that you model relationships with associations, and draw them in class diagrams. Component diagrams, are only suitable for expressing dependencies (a weak form of relationship).