I tested an other CF-Card (2GB instead of 4GB), and nanobsd is working like expected: on boot, I can change interactively which slice to boot, mount shows /dev/ufs/pfsense0 and pfsense1 for slice 1 and 2, and I can change the bootup slice in Webgui without errors.
Thank you for your comments.
Up to last week I knew that pfsense is great. Now I know additionally that this forum is great, too.