Since our application grows, we need more space on our Windows CE devices.
We installed SD-Cards. Running our applications from the sd card is slow and there are some heavy issues with demand-paging if you run the apps from persistent paths.
The only option we see is to install the Compact Framework on the SD cards to free some memory.
Is it worth to install it there? Will we get performance problems?
It really depends on what value you're using for "worth". Installing the CF onto a storage card will save you about 4MB of storage space on the device itself. If you're low on storage space it might be useful for that.
It is not going to improve performance of an application, however. In fact, it might slow it down. Applications do not run directly from a storage card, they have to be paged into RAM to be run. Putting the CF on a storage card will not change that requirement. Instead, the CF code will also have to be paged in from the storage card.
The performance impact of this paging versus paging it in from the built-in flash will vary by device and by storage card. NAND and NOR flash have significantly different read speeds. The speed of the OEM's bus driver for the card can vary widely depending on how it was implemented.
In short, installing it on an external storage card will give you zero performance benefit and it may actually make things worse. If you want the app to page in faster, try different, faster read storage media or move it into RAM.