CFEclipse is just a code editor. Looking at the feature list, it lists debugging, but only for CF 8:
Adobe released the ColdFusion 8 Extensions for Eclipse which included a step debugger and RDS tools. This is no longer supported by Adobe but still works in the latest CFEclipse versions.
Once Adobe released CFBuilder, thier complete Eclipse-based IDE for ColdFusion (which includes a step-debugger), I'm sure they stopped releasing those Eclipse extensions for newer versions of ColdFusion. This would stop CFEclipse and other free Eclipse based editors from providing step-debugging for CF 9 or later.
An alternate step-debugger would be FusionDebug, which I have used in the past to solve some serious problems in legacy code bases.
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