I actually pointed out:
"You can mix FVF for vertex structure in D3D9 C++ and also use an effect file that provides a vertex shader."
Once you select a vertex shader/pixel shader, you have fewer options for setting device states than if you remained strictly with the FFP.
Please read here for more info:
Declaring your vertex structures using FVF does not imply that you are strictly FFP. You can still set a vertex shader/pixel shader (either directly or through effect file usage). Once you've set a vertex shader/pixel shader, you've opted out of FFP for that part of the pipeline.