Ok, I have been struggling with this for a day now, and here is solution for those seeking the answer...
I am assuming that most people reading this post are here because they have a large DbContext class with a lot of DbSet<> properties and it takes a long time to load. You probably thought to yourself, gee, that makes sense, I should split up the context, since I won't be using all of the dbsets at once, and I will only load a "Partial" context based on the situation where I need it. So you split them up, only to find out that Code First migrations don't support your way of revolutionary thinking.
So your first step must have been splitting up the contexts, then you added the MigrationConfiguration class for each of the new contexts, you added the connection strings named exactly the same as your new Context classes.
Then you tried running the newly split up contexts one by one, by doing Add-Migration Context1 then doing Update-Database -Verbose...
Everything seemed to work fine, but then you notice that every subsequent Migration deleted all tables from the Previous migration, and only left the tables in from the very last migration.
This is because, the current Migrations model expects Single DbContext per Database, and it has to be a mirror match.
What I also tried, and someone suggested here doing that, is create a single SuperContext, which has All the Db sets in it. Create a single Migration Configuration class and run that in. Leave your partial Context classes in place, and try to Instantiate and use them. The EF complains that the Backing model has changed. Again, this is because the EF compares your partial dbcontext to the All-Sets context signature that was left over from your Super Context migration.
This is a major flaw in my opinion.
In my case, I decided that PERFORMANCE is more important than migrations. So, what I ended up doing, is after I ran in the Super context and had all the tables in place, I went into the database and Manually deleted _MigrationHistory table.
Now, I can instantiate and use my Partial Contexts without EF complaining about it. It doesn't find the MigrationHistory table and just moves on, allowing me to have a "Partial" view of the database.
The trade off of course is that any changes to the model will have to be manually propagated to the database, so be careful.
It worked for me though.