(1)The A4000 wants an EIDE drive first. It will wait 30-70 seconds (frustrating) until it can not find the EIDE drive, before the "insert disk" screen will appear.
EDIT from my technical folder:
Even when an A4000 is configured without one, the system will still look for an IDE hard drive on power-up or reset. To allow IDE drives time to spin up. The only currently-known way to completely disable this delay is by obtaining a small piece of hardware hack (avail on Aminet).
(2) What SCSI card are you using. Do you have the driver disk?