Desiv is right. This is not a USB device. You must turn off your Miggy before inserting the CF card if you want it to be recognized by the computer. You can't simply remove a SCSI or IDE HD while the machine is on, insert another and expect it to work. Same exact concept.
Still, it's a cool device and a worthwhile one for transferring files to and fro.
Would pulling the CF card out while the Amiga is on damage the card or is it just that it would confuse the OS. If it doesn't physically damge the card, I'd be tempted to try it on an Amiga. AmigaOS doesn't generally try to access the drive unless you tell it to. As long as you were careful it might work. If you removed the card after the Amiga's fully booted would AmigaOS even know if you pull the card out? So as long as you don't try to access the card while it's out, couldn't you add some files to the card on your PC and stick the card back into the Amiga and AmigaOS would never even know the card was missing?