So after alot of twiddling around with D3D Mobile I have learnt a few things. In the call to create device, the parameters are pretty picky.
For instance, you should enumerate all depth formats to see which is available and then pick one. On some devices D16 is not available yet D24S8 is!
What I'm curious about is why D3DMPRESENT_PARAMETERS.Windowed set to TRUE doesn't seem to work on any device? Can you not do full screen exclusive mode in D3D mobile?