For future reference: this problem was resolved (more or less) in OpenBD 3.0, released early March 2013.
In 3.0 the code that creates the AJAX proxy .js file was modified to include the lines:
javascript.append( " this.remoteCFC = '" );
javascript.append( CFC.replace('.', '/') );
javascript.append( ".cfc';\r\n" );
While it still does not take into account any server-side mappings, it at least allows you to reference a path that is not a child of the current .cfm page:
<cfajaxproxy cfc=".cfc.one" jsclassname="cfcOne">
(note the leading .
, which is replaced with a /
by OpenBD. In previous versions of OpenBD this would generate an error)