I don't have a Windows phone, so I'm not 100% certain. (There's an emulator that you can get from Microsoft, but I haven't spent much time with it.) So hopefully someone else can actually confirm this for a fact.
But I don't have any reason to believe it won't work for the Windows phone. I'm pretty sure they're at least DirectX 9 compatible, which is all that would be required, I think. Microsoft says XNA works on the Windows phone, and to be missing HLSL shaders, in my opinion, would definitely violate that promise.
So while I can't promise that it for sure works at the moment, I'd be surprised if it doesn't.
Anyone else have any success (or failure) with this?