There is no incompatibility with CFMX at all, it is just that it introduces more possibility of problems, and since it is not officially supported by Hsphere it increases the workload quite dramatically on our staff, as we have to manually setup the ASP.NET 2.0 domains(each domain, can't be done on a per account basis).
Part of that is switching application pools, if we switch the application pool, then someone unchecks ASP.NET in hsphere, then adds it again later, it will revert them to asp.net 1.1, but keep them in the ASP.NET 2.0 pool, if they try to run an ASP.NET 1.1 app, it will crash the application pool.
These are a few things we have run into with ASP.NET 2.0, and keeping it on a limited number of new servers is the best option at this time.