There seems to have been a change to the Application.cfc OnRequestEnd method that I can't find documented anywhere. In previous versions of CF, page execution ended completely and immediately after executing a CFABORT or CFLOCATION tag. In ColdFusion 9 this appears to have changed to now executing the onRequestEnd event before terminating the request (only if it's in the Application.cfc, not if it's an OnRequestEnd.cfm template).
More from Ben Nadel: http://www.bennadel.com/blog/2050-Changes-In-CFLocation-OnRequestEnd-B ehavior-In-ColdFusion-9-s-Application-cfc.htm and from my blog: http://ontap.riaforge.org/blog/index.cfm?mode=entry&entry=58993158-CFC 0-A2D4-EB631D225F064EDD
It was because this "bug" was "fixed": https://bugbase.adobe.com/index.cfm?event=bug&id=3040459
Fortunately it's been backed-out in CF10.