I'm pretty sure it will load bios just fine with the he 32x attached, but it's been a long time since I used mine so I'm not positive (traded it off a while ago and haven't replaced it)... The on screen menu won't work, that's correct, system limitation... Biggest thing that doesn't work with the 32x, in my opinion, is master system games but again -system limitation, not Krikzz's limitation.
Speaking of which, try Krikzz's site directly for clarifications v