I run it off the SD card, not sure if you can try it off the CF card or not (it runs off the CF card for both my 5DII and 7D which only have one slot). I suspect ML just suggested the SD card because it is so much slower than the CF card so most people use it as a backup, but maybe that is not the case for the 5DIII.
I would recommend doing some more reading before you install it though. Just to get a better idea of what it is and is doing - especially the install threads. You'll also need some time and patience to figure out some of the modules and how they work - for me it was mostly trial and error, not much documentation, but there can be some info in threads on the ML forum. Or you can always ask on the ML forum (but ask 'researched' questions for best results - i.e. have a go first).
I would try checking some more, but try it first on the SD card. You can still write stills and video to the SD card, but you will have to have ML on all the SD cards you are going to use (you can just copy the files) - this is how it works with non-dual slot cameras anyway. I think you can also format the SD card in-camera with the latest ML version. Just be sure to use the version for your current firmware (1.1.3 or 1.2.3).
If you are feeling brave, then try installing it on the CF card and see what happens. I'm not quire bored enough to try that yet.
Finally, if you do something 'wrong' don't panic. I've been using ML for years and so for instance when I got to loading it on the 5DIII I got complacent. Long story short I did my best to mess up the install (which was also more tricky at the time) and still did not harm the camera. Just don't take the battery out during a firmware update - that's not good. If you have a problem, switch off, take the batter out, take out cards, put batter back in, switch on. If everything works put in a card without any ML files on it. However badly you mess up the install, that will give you a useable camera until you can figure out how to recover (you will be able to, but may need some help from ML depending on how badly you messed up the card and install). I've always recovered by myself, but have some years of experience.
Worst heart attack I nearly have myself was putting a ML 7D card into the 5DIII and the 5DIII would not even turn on. Camera not even blinking or turning on is not so good and removing the battery and re-inserting didn't help. I now have fancy duct tape marking my different CF ML cards.
As far as what I use:
1. DualISO (increased dynamic range without bracketing). You need other (free download) executables to create DNG files that can then be read my LR/ACR or your raw converter.
2. Raw histogram (actually gives you a histogram of the raw data - good for ETTR)
3. DOF preview lock (locks DOF preview so you can pan around at 10x mag in LV and check focus without having to keep you finger on the button)
4. Preferred card use. This stops the 5DIII from switching say to the SD card permanently if you take out the CF card while the camera is on. As soon as you put a CF card back in it switches back to the CF card. You can make it prefer the SD card, so it will always write to the SD card if it is in the slot (you may or may not have experience this 'problem' depending on your use).
5. Auto Exposure (you can basically set ISO, SS and Aperture and determine how each vary with light - complex but powerful)
6. Focus stacking (for macro shots on a tripod)
7. Bulb timer (so you can set SS > 30s without having to use a watch and flashlight to time the bulb setting). Good for nightscapes.
Several features I only use in the 7D and 5DIII like bracketing more than 3 shots and one-touch zoom to focus point that are all in the Canon 5DIII firmware now anyway.
I probably have other things set that I forget about. I do use the video functions a bit, but I mostly take stills and would not consider a current Canon model without ML. Just for DualISO it is work it for me.
BTW did you know that with a Lexar x1000 32Gb CF card (or better) you can double the number of raw shots you can take in a burst before the burst rate slows (like having a buffer of 24 shots instead of 12). A good reason to use CF cards? They are not that expensive now either.