Yes, I can advise that I called Adobe shortly after receiving CS4 to report this problem. They took away "Filters" and thus the crop mark command (for a few years it was called Trim Marks to distinguish it from the crop mark command in another menu) vanished.

Not only can't you select the trim marks to modify them, you will also find that unless the selected object(s) are grouped, you get a multitude of crop marks. It's idiotic and it's broken and there should be a fix for it before we have to upgrade to CS5.

Moreover, if you make a rectangular bounding box, and then surround it with crop marks, and then turn that bounding box into a guide, your crop marks disappear.

It's just a broken feature, that's all, and multiple artboards is not a good excuse for it.