Hello. I faced with such problems too. And one wired things helped me.
1. Install desired CPU onto motherboard
2. reflash you current and some latest BIOS
Or. Erase CMOS? I didn't check erasing CMOS, but looks like this the case.
BTW: I've done reflashing and it helps me to use my new E8400 instead of E8200.
Hope this information helps.
CPU E8200 Minimum BIOS Version required is 0413 and Q9400 Minimum BIOS required is 0484 Much higher.
My guess is that you need to upgrade the BIOS, is problably best if you put back your E8200 and upgrade the BIOS. Once is succesfully upgraded install back the newer processor.
Find below a link to latest BIOS updates.