This is related to a bug within the cfmailparam behaviour in CF9. It is removing the files even if you specify remove=”no”.
This has now been patched in Cumulative Hotfix 1 (CHF1) for ColdFusion 9.0.1:
kb2.adobe.com/cps/862/cpsid_86263.html
Bug ID: 83725 + Images and not images impacted.