There are some differences in GDK in the way you set it up. Sync Masking is handled a little differently in syntax, so if you dont get that right it wont render properly( you can tell if it isnt right either by the look, it will either definately not look right, OR it may look kind of right, but it will be very very slow and look a little off, if you mask them properly, there will be almost NO noticable slowdown from the shaders and extra rendering), and you need to make sure that your object's FVF vertex format will support the amount of textures you are putting onto it aswell as any diffuse, specular or UV that it needs.
The Nvidia 8600 chip should be capable of running all of the shaders as far as I know(I thought it supported ps/vs3, and its not that old of a card really in comparison to something like the old nvid7200 in my testbench pc which runs all of the shaders ive thrown at it so far upto ps2). Perhaps make sure that it's drivers are updated, nvidia do fairly regular updates to their drivers, usualy every couple of months or so....
Here is a link to some examples that I did not long ago for shaders in GDK they are just quickly thrown together, but demonstrate using shaders in GDK in different ways, there is water, bump map, normal map, soft shadow, cublic lighting, cartoon shading and some others in there aswell I think, they are direct ports of evolved's DBPro shader examples, mostly :
http://forum.thegamecreators.com/?m=forum_view&t=152491&b=22
If it ain't broke.... DONT FIX IT !!!