As I said, no suggestion should go untried, so I dd'ed the pfSense nanoBSD image to my SSD.
And basically it works fine!
However, even if the / filesystem is mounted read-only (RO), it seems to be mounted read-write (RW) every now and then.
I notice a lot of calls to conf_mount_rw() in /usr/local/www
I guess this works nice with a CF card: In general RO, but when needed RW.
But the root filesystem is thus not truly RO.
So in "my" case it does not work as needed…
I might play around a bit and try to mount /etc from a different partion etc...