Chalk this up to the "I can't believe you never saw this before" file. While this is incredibly obvious, I never really ran into this today. Where you put your CFERROR tag (for those using Application.cfm instead of Application.cfc) matters. Consider:
The code above will work correctly.
<cferror template="exception.cfm" type="exception">
The code above will not work correctly because the error occurs before ColdFusion has been told what to do with an error. As I said - incredibly obvious but it never really bit me in the rear till today.
Now you might say - why not just move it to the top of your Application.cfm file. Well that would work - but what if your exception handler itself uses variables in the Application scope? For example - an application.adminemail setting to know where to fire off error reports. I think you might consider doing code something like so in your exception handler:
<cfset mailTo="some hard coded address">
<cfset mailTo = application.adminemail>
While it is never nice to hard code values - it might be acceptable as a last case resort. Someone remind me tomorrow and I'll post my "typical" exception handler.