Chris, I saw somewhere a photo of the engine bay of the XE Project 8 "Ring Taxi" (but for the life of me I can't find it any more!), and they had done exactly as you have done - replaced the stock air boxes with cone filters. I think they also installed some (but not a lot) of deflector panels around the cones to reduce the pick up of hot engine air. If it's good enough for them then it should be OK for us!
If cone filters work on the Project 8 and on your XFR-S then they should work even better on the F-Type seeing as it's intake openings/snorkels are down low behind the grill and not up behind the lights. It seems the main problem with fitting cone filters to an otherwise stock intake system on the F-Type is to figure out a way to hold them firmly in place so they don't wobble around, which may mean that special brackets need to be fabricated.
There is a fair bit of talk on the Yank F-Type forum about the Eventuri after-market intake system. It also uses cone filters and it's a high quality product made from mainly carbon fibre. Problem is it is massively expensive and there are mixed reports on any increase in SC whine and/or performance, otherwise I would have bought and fitted one by now.
If your cone filters work as well as you suspect they will regards no loss of performance then I will think about going that route as well (especially seeing as the OEM air filters are due for replacement soon), I just need to solve the mounting issue.