It is a bit difficult to get started. It doesn't make much sense to have to go to /app_home/PS3_Game to launch the game. I just happened to remember seeing various posts about it while I was waiting for my dongle to arrive in September.
I believe some of the backup manager removed the direct boot function, because the compatibility was so poor. If you look around you may find one that still has it as an option. I have Gaia Manager 1.03, and everything performs the same whether Direct Boot is Enabled or not. The number I remember reading is that less than 10% of games would boot directly. That number probably isn't correct, but it is very low to say the least.
Someone smarter than me can answer this better, but the better compatibility rate with a disc in, versus disc-less method, seems to deal with some sort of authentication check that games use when it is launched. Some games have just basic checks, while others are more in-depth. There may be a string in the eboot.bin or other game file, that points specifically to the blu-ray drive,and if it turns back a path on the hard drive, it fails this check, and fails to boot. I would imagine there are further authentication checks that we are not aware off, which are causing black screens on some of the Call of Duty games, among others. This may be fixed by a future payload released, or changes in the new Unified Manager being worked on, but that's just speculation on my part.
Nonetheless, I've only ran into one game so far that I had to put a disc in to play. But I don't have very many games to try. Just don't have the money to spend on them. I tend to keep a disc in just in-case, since the disc is only being used when the game is first launched, (and you're saving your laser either way). If you prefer the disc-less method, you probably won't run into very many problems. If you do, you can check out
PS Jailbreak Compatibility List - Home to see if its a bad rip, if the game isn't working for anybody, or if you downloaded a bad copy. If you're going to find a Backup Manager with Direct Boot enabled, you're bound to run into a lot more issues than it's probably worth.