The ColdFusion development team is running a survey to try and collect information about how you develop CFML code and what tools you use. Specifically, what features you look for and use in a IDE. Your chance to give your input can be found here.
Having a ColdFusion specific IDE is something that certainly the server team has wanted for a while ("Bring back ColdFusion Studio!") but for various reasons (*cough* Dreamweaver *cough*) we were unable to get. Remember also that the CF team are Java/server developers, which aren't the right people to develop an IDE tool for the desktop. This may explain why we haven't written one ourselves yet. :-)