Coming back to my own settings:
- Standard A4000 machine spec, all on Automatic other than noted below
- ROM A4000 KS 3.2.3 (47.115)
- CPU speed set to 25Mhz (I found having this set to "Maximum" negatively impacted game/demo performance, despite being quicker to boot)
- Networking disabled
- JIT disabled
- Zorro 3 memory enabled with 1GB restricted option
- No "storage" options other than the AGS hdf added
Save states do seem to be problematic, I tested myself and saw the same fall back to the A600GS menu.
Also reconfirmed that altering options around the machine spec causes the hdf boot to fail, requiring it to be removed and re-added. I think this issue may have been raised somewhere before in relation to RDB hdf files