Well a final report on the fake-folder situation, for those of you who 
might find it useful:

Turns out there were two bits I had to do:
1) set the missing template header in the CF admin to point at my 
handler script (cleverly titled "missingTemplate.cfm")
2) set the '404' custom error in IIS for the site ALSO to point at that 
script (as type "URL").

Why both? Because the missing template handler would catch
http://domain.com/folder/index.cfm
but NOT
http://domain.com/folder/

as, since the folder doesn't exist, IIS doesn't go "oh I don't have a 
page, let's go through the default page names set up for this site and 
see if we find a match... index.cfm, yes, there it is" - so it never 
touches the CF server at all.

Then, in the missingTemplate.cfm script, I've got code to sniff out what 
the non-existent folder *should* be (via cgi.script_name, and dig 
through an app structure to see if it finds a match.

Trick is, with the folder-only URLs, the ones that go through IIS's 404 
handler, cgi.script_name comes back as "missingTemplate.cfm", as that's 
what IIS is redirecting to. However, cgi.query_string comes through as 
"404;http://domain.com/folder";. So if I didn't find a match the first 
way, I checked for that pattern in cgi.query_string and extracted my 
non-existent folder that way.

The rest was just a few path adjustments in my existing code, and all is 
well.

Fun with code!

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