Yeah they work just fine mate.
It all depends on the CF adapter, the CF card and the orientation on the cable.
I think I had some issues as well while putting a CF adapter, but when I changed it with an IDE2ZIF attaching an old 40GB ZIF disk it worked just fine.
In this example that worked for me I had the cable as this:
A4000 IDE Header ------- CDROM (slave) ------- HD (master)
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