I've found it to be flaky for me (on various versions of Windows). It seems if the tag has no attributes (seldom the case!) then it works OK. Sometimes it needs a CTRL-SPACE to get the closing tag to show up. Sometimes I need to key in </c then CTRL-SPACE and it shows up.
It should just work though, obviously.
Never mind - I found the proper setting under 'Typing'.
I've noticed too that auto inserting closing tags is flaky. It seems that the settings randomly revert back to disabling auto inserting closing tags. Another similar issue I've run into is it sometimes closes the wrong tag. For instance if I'm in a HTML tag (say the table tag) and write a cfif, when I close the table tag it produces another closing cfif tag. So if I type this:
<table <cfif a is b>class="#b#"</cfif>
Then type the closing > I'll end up with
<table <cfif a is b>class="#b#"</cfif>></cfif>
This occurs often, but not always. More often it just doesn't close the table tag. Not sure what the deal is.