I am assuming that is just old documentation. You are correct, that is a HUGE security risk.
I found this reference and this reference related to ColdFusion 4.5
I found this reference related to ColdFusion 5.0
And here is some old documentation with it as well, from the Allaire days.
I am also running ColdFusion 9.0.1 and adding ?mode=debug
to the URL does nothing.