Strange, I use the scheduler regularly and have never seen
this behavior. I think you might be on the right track in emailing
you upon failures. You may also want to email you upon success as
well, at least until this problem gets resolved.
A scheduled task is just another user session as far as your
application is concerned so you can use specify a CFERROR template.
You can also use the output from the scheduled template as a log
and in the cf scheduler admin specify to log the output to a file.