Briefly - Uae4all emulates a basic Amiga A500, and does not include HD support. (although I've read that various devs have worked at adding HD support to other uae4all ports - no idea where this is at).
P-UAE supports HD's (and full faster Amigas - A1200/AGA chipset games etc...) but is currently too slow on the Pandora to be playable (IMHO).
I'm a registered WHDLoad user and would love to see it available one day, I mean look at games like Lure of the Temptress, it's a disk-swapping fest. Well here's hoping!