Okay, new chapter... I ordered two cheap adapters from AliExpress.
SInce I had everything dismantled while I was painting the case (see the make-over thread in the forum), I decided to test these out.
1. an SD-to-CF adapter, plugged it into a CF-to-IDE adapter
I dd'ed the Cobra Arcade image to the 128GB SD, added a molex adapter cable... wrote the corresponding dongle to my SYS2X6 and booted it. I get the usual beeps, and I can see the activity light flashing, then going solid. Nothing else happens.
This adapter does have a master/slave jumper. Tried setting it to slave (the default is Master), and it will just flash the activity light a couple times and stay off. Nothing else happens.
2. SATA to IDE adapter
So, this adapter uses a JMicron chipset and has a Master/Slave jumper. I used one like this in the past with an old PC and it worked just fine.
Wrote the Cobra Arcade image to a 500GB 2.5" SATA disk I had lying around and plugged everything in.
In Master mode, the behavior is the same as the CF adapter: the activity light will stay solid and do nothing. In Slave mode, it flashes and stays off.
So, I guess it's still a no-go. Perhaps there is a maximum size of hard disk supported by the System 256? Unfortunately I don't have a smaller disk on hand. Maybe I'll try with one of those cheap as chips chinese SATA SSDs (the ones without DRAM that are like $7 for a 64GB).