I agree with what @Mitsurugi-w says but just to rule out few things such as the PIC, you can indeed try the netboot scenario.Another question... Is it somehow easier to pass the CF Card and load via NetBoot? Can I do it with my setup? I've never done that, but I can try it
The NetDIMM is version 4.02, do I need something special to try netboot?
Before dive deep into a raspberry pi solution you can simply try netboot with just a UTP cable and a PC. In a nutshell;
1) You have to adjust your netdimm jumper settings to "netboot"
2) Then after reboot, go into test menu and adjust network settings according to your home network (i.e. assign IP address to netdimm such as 192.168.1.10).
3) Connect one end of the utp cable to netdimm the other end to your home router/hub/switch whatever you have. Let me remind again, you have to give a valid IP in your home network.
4) On your PC, ping the netdimm's IP address. If you have response then your network setup is almost done.
5) Use transfergame.exe to upload a game rom to your "network enabled" naomi.
There are obviously huge resources on the internet including this very forum regarding this topic. The above are just the summry of essential steps to guide you.
Hopefully if you have a zero PIC good for netboot (most of them sold on the internet are indeed netboot zero pic.) your game will start. If not just try an AW game (to bypass the zero pic need).
Eitherway, if your game loads fine, your netdimm is good. Then you might consider to move to a raspberry pi solution, which in my opinion superior option over a CF solution since you already have the netdimm.
Good luck...