As many have found out, the focus confirmation only works for manual focus
when an autofocus lens is attached to a Canon EOS camera.

When using a M42 or a T-Mount adaptor, I have found that getting accurate
focus is difficult on the standard focusing screen.

I just noticed that a bright person came up with the "Dandelion" which is a
little pcb that can be glued in on the back of the adaptor to enable focus
confirmation.

homepage for it:
http://www.filmprocess.ru/oduvanchik/index.html
The translator at http://www.altavista.com/babelfish does a pretty good job
of Russian to English if you need it.

More info.
http://satinfo.narod.ru/en/adapter.html

It seems like an excellent idea.  Has anyone tried it out?