What screenmode do you have configured? I had to build my A4000 HD on my PC with WinUAE because I didn't have a monitor that worked with 15 kHz modes (or a working floppy drive). I installed OS 3.9, set screenmode to DblNTSC and moved it over to the real A4000. Booted just fine.
I added a CF reader later and just did the same thing. I removed all monitors from Devs:Monitors and only installed DblNTSC. If you have a proper monitor, try having only NTSC or PAL and make sure the screen mode is set in Prefs and try booting then.
Also..you didn't have a UAEgfx or other RTG mode set in WinUAE did you?