As far as I know, this is still true. Can't be done.
I don't think it can be done either, Not really best practice so Adobe is trying to keep you from doing this. They want the images moved from the card to a drive of some kind, then imported at that location. The why is, they expect you to format and add more images back to that same card, they as such don't treat it like a HD. Be interesting to know how they know it's a CF or SD card to disable that option.
It can be done using a plugin like OttomanicImporter (or FileListener), or a script like in MiscLrScripts (e.g. "Choose files via OS and add to catalog.."). - those were written by me, and are free.