Well I figured out the problem: AmigaOS ROM Update V44.57 (BB2). I guess WHDLoad does not like this ROM update on a 4000, as on my 3000 it works fine. I reverted to BB1 ROM Update and the games seem to be working ok now. I emailed Bert.
Anyone else with a 4000 and BB2 ROM Update that can verify it is indeed 4000's (or 1200's, maybe its IDE?) and some games not working?
Here are some games I was testing: Elf Mania, Shaq Fu AGA, Blood Money.
Thanks