OnApplicationStart is only run when the Application is first created in memory and is only run once for the life of the Application unless you explicitly call things like ApplicationStop(); or call the method again, etc. In addition, the variable in the Application scope you set is a request scope variable which only exists for the lifetime of one request. Same with onSessionStart, that request variable will only exist when the user session is created for the first time.
First Request: (ApplicationStart & SessionStart Fire)
struct: request
application {ts '2013-03-20 18:50:17'}
cfdumpinited false
pseudo {ts '2013-03-20 18:50:20'}
session {ts '2013-03-20 18:50:19'}
struct: session
cfid 5600
cftoken a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
session {ts '2013-03-20 18:50:19'}
sessionid TESTYMCTESTABLE_5600_a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
urltoken CFID=5600&CFTOKEN=a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
Second Request: (Application/SessionStart Do Not Fire)
struct: request
cfdumpinited false
pseudo {ts '2013-03-20 18:50:59'}
struct: session
cfid 5600
cftoken a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
session {ts '2013-03-20 18:50:19'}
sessionid TESTYMCTESTABLE_5600_a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
urltoken CFID=5600&CFTOKEN=a8bf96c34c2cac7a-68400880-E1E6-ACDF-3B204DBBCD9A04A9
This was tested on CF9.
application.cfm
<cfcomponent>
<cfscript>
this.Name = "TestyMcTestable";
this.ormenabled = true;
this.datasource = 'cfartgallery';
this.sessionManagement = true;
</cfscript>
<cfset request.pseudo = Now() />
<cfset sleep(1500)>
<cffunction name="OnApplicationStart" access="public" returntype="boolean" output="false">
<cfset request.application = Now() />
<cfset session.application = Now() />
<cfset sleep(1500)>
<!--- Return out. --->
<cfreturn true />
</cffunction>
<cffunction name="OnSessionStart" access="public" returntype="void" output="false">
<cfset request.session = Now() />
<cfset session.session = Now() />
<cfset sleep(1500)>
<!--- Return out. --->
<cfreturn />
</cffunction>
<cffunction name="OnRequestStart">
</cffunction>
</cfcomponent>
Alternatively if you put your request variables in the OnRequestStart, they will be there every time. Hope this helps.