Hey,
Which workbench are you using classic/lite?
Did you copy system.hdf completely or did you pack it as a zip file. If its a zip file you will need the installer 3.5" floppy disk (which is separate to the wb install disk) I would forget about copying it as a zip file and just copy over system.hdf as one large file.
I would also go back to the cf install/partitioning and make sure it is installed with bootable option ticked below.
Apart from that you could check all your connections are sound for the cf?
Thomas is probably one of the best people to consult about this, he was pretty helpful when it came to sorting out my recent CF A1200 install