The headers are one thing (your location is the same as mine), but the SDK is another, as you still need d3dx9_43.dll for it to actually run.

>mess <system> -verbose

and make sure there isn't any error messages.

Now, I normally run with all filters disabled. So, I tried this HLSL with the default settings (which I don't pretend to understand), and got a slight blurriness, and the speed was about the same (i used the Jaguar driver which gives about 42%). The only thing I noticed was when frameskip is set to Auto, HLSL will not skip any frames. Manually selecting a frameskip results in skipped frames (as expected), but there was no increase in overall speed. Perhaps it is working as designed, only JD could say.

Next, I purposely set the dx setting to 8, verbose said could not start d3d (as expected), but it appeared HLSL was still running?

It would be good if verbose said if HLSL was able to start successfully. Just a suggestion..