The abort works for most of the cases; the AJAX request will always work, but if you had some custom code in your onRequestEnd, such as logging, it will not be executed.
Note on application.cfc: as a general rule, try to avoid using application.cfm/cfc for html rendering. It is advisable to separate your logic from the presentation layer. Application.cfc, just like any other component, is encapsulated and parameterized, and should not display html. If you successfully separate your logic from your views, you will be able to use the same architecture for presentation layers such as html, ajax, flash, flex, laslo, or mobile devices.