Answer
There is no contraindication.
You can do as you think by getting the benefits of the validation component.
Reflections
An "Entity" is actually a common object. Through metadata (by annotations or configuration file) is that Doctrine does its job - without the class needing to implement (Implements) an interface or extend (extends) a hierarchy.
So maybe you want to put these classes in one another folder inside the Bundle, since "Entity" is enshrined by the use as the folder where entities to be persisted reside.
In short: the question revolves around what "entities" means... you speak in
uncharted entities (not persistent)
...I’m okay with that, but who knows if the name "entity" refers to justly to "an object that will be mapped/persisted"? Why not simply enunciate "instances uncharted" or "objects uncharted" or "classes uncharted"? Just don’t call your objects "entities"! :-)
Completion
Finally, in practice you can put your classes in the "Entity" folder and use the word "entities", not map, not use Doctrine or ORM annotations, but use validation annotations and the Symfony 2 validation component without problems. And you can also, as said, put these classes in a folder other than the "Entity".
I’m not familiar with Symfony 2, but that question seems more related to Doctrine itself, @eminetto if you can answer that...
– hernandev