Yes, you can use WebLog Expert to analyze Cold Fusion sites. If .cfm pages aren't shown in the page list, you should check that the cfm extension is specified in the list of page extensions in Options > Analysis > Files.
If there are still problems, could you provide more information on what data is missing in the reports or what errors occur?
If there are still problems, could you provide more information on what data is missing in the reports or what errors occur?