It should not work since Filters were remove and everything ported to effects. (note: have not tested since I do not have CS4 yet and probably will not until early next year)

The action can be recorded using effects and expanding though.

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.




Expand the effect before changing the bounding box to a guide.