Not a lawyer...well at least not yet, but I've spent a lot of years in this industry and I am setting going, "What the...?".
The website is code. You are selling the copyright to that code plus the contents of the site and domainname etc. It would be the buyers' responsiblity to either A) take over payments for the server/hosting (if its a third party company) or B) find a hosting service that offers cold fusion.
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I've helped develop a couple broswer-based games that are released Opensource. They are written in PHP. When I distribute the files, its upto the person starting a new site with the game to have a hosting company with PHP and MySQL available.
So simple answer...no you don't have to remove the CF portion of the site. Now if the buyer wants the site to function, they better get a hosting service that hosts CF or purchase a copy themselves.