I put iframes in my site all the time. They work fine. You put them in a post? a page?
Its a great way to pull in old content, if you don’t have the time to move everything over to wp.
Does your generated code show the iframe? Ie: when you view the source on that page, does the code above appear? Or, when you say WP, “eats” it, perhaps its removing it from your post (auto correct, hey…its a feature! NOT!)