@alexh
At the moment my A600 has one of this female CF adapter and I can assure you it works perfectly (recommended). What I like it's that it stays blocked to the standard Amiga male IDE interface.
... and you can recycle the standard 2,5" cable for other purposes
.
In my A1200 I have an IDE splitter with cable for the CD-RW drive, in this case the male adapter version and 2,5" cable for the compact flash hard drive is a must.
However I believe that, at the moment, having a CD drive in an external enclosure (with its PSU) can be useful but it is mainly a loss of space: much better and easy to use another COMPACT flash via the PCMCIA port.