ADUC848 serial download protocol: command issues

Dear Sirs,

I'm working on the flash support of the ADUC848 on our own programming system.
Based on AN-1074 I implemented the Erase/Program and Verify routines, that work well at baud 9600.

Finally, I wanted to set the Security Mode. Regardless which value I select the device responses with NAK (0x07).

My flow looks like:
Power Up -> Reset into Serial download mode -> check device version ->
Erase All -> Program Code flash -> Program Data Flash -> Verify Code Flash -> Set Security Mode -> Power Down.

Except for Set Security Mode the devices responses with ACKs.

Do I have to consider something specific when I want to execute the Set Security Mode command please?

The marking of my device is:

ADUC848BCPZ62-3
C21 #1752
4093861.1

Crystal used at XTAL1&2: 32768Hz.

Device Version ID: ADI 848   V213


This is my most pressing priority.

Beside this I have some more questions:

1) I tried to Change the Baud rate using command 0x42 with T3CON = 0x81, T3FD = 0x12H.
   The expected target baud rate would be 38400. The device responses with ACK, but it won't response any longer on commands.
   What is the expected flow for changing the baud rate?
   I send the command before Erase.
   
2) Is the page download command (0x51) supported by the ADUC848? I get NAK after calling it.

3) I have difficulties getting into the parallel programming mode based on the sequence on page 5 in AN-1139.
   Do I have to pulse EA_ pin or just set it to GND as suggested in Fig. 29 in the device datasheet?

Thanks for your help.

Stefan