Well them, I can continue.
It's strange:
pSX emulator: Legend of Mana - rumbling, FF IX - rumbling, Chrono Cross - rumbling (well, softly but it works), FF VIII - no rumbling (tried both, the SCPH-1150: Analog + Rumble and the SCPH-1200 DualShock controler).
In ePSXe (1.5.2 & 1.6.0): Chrono Cross - rumbling (also very softly. Couldn't test in 1.6.0 because game seems to not work - hangs up), FF IX - rumbling, FF VIII & Legend of Mana - no rumbling (using always the same configuration. Only the GFX settings of FF9 could be a little bit different, but shouldn't matter). I realy won't understand why.