With Windows Vista I have some better results but still far from a solution.
I tried copy the contents from my laptop to the CF card but I had a lot of checksum errors. I must admit that using MaxTransfer equal to 0xfe00 gave me less errors then using 0x1fe00 however the errors seemed to be on the same files.
Also from my A500+ I can format (from workbench) any drive, while when in WinUAE, after selecting this option, after some time I get an error "Not a DOS disk".
In short, from WinUAE my CF card is identified but I can not manage to interact with this CF card!