I have just tested it and it works great with smbfs!
of course its a bit slower than HDD.
I used the PRELOAD option, just in case.
The games that work: SuperCars 2 (JST), Superfrog (WhdLoad), Arkanoid2 (WhdLoad)
there are some minor problems, I couldn't get icon on workbench for smbfs drive (I think there is an option for this) and the files cant have executable flag set.