A couple possibly stupid questions.

1. Did you set the zbuffer state to enabled?
2. Did you accidentally move out of the near/far clip plane regions so you see nothing
3. When you say you "enabled" the Z buffer, how did you get the file rendered before. since it was a sphere, did you have no Z values in your Directx 8 version?
4. What about your camera/project/world matrices are you sure they are correct.
5. Is there any errors possibly occuring you aren''t catching(meaning just step through and make sure the rendering works etc).

I have a similar project that loads just a directx mesh and it does work, but I am not much of a real expert to be honest, although if I saw the code I could compare it to mine and tell you what i don''t see.