Firstly, you most-definitely can put a <cffunction> in a cfm on CF9! :)
UDF's were introduced in, I believe, CF4 or 4.5 back in the 90's.
I am almost certain that the code from your most recent email (the <cfscript>continue;</cfscript> line) was running fine for me on CF9 on Windows just a year or two ago.
If you're convinced it's that line, you could try refactoring that section of code not to use continue -- instead just put all of the stuff that comes after it inside the loop into the IF block; should be functionally equivalent.
Also which version of Taffy are you using?