Rex posted this on the CFDEV list (I think it bears repeating):
The VARIABLES scope is the default scope for an unscoped variable, and is shared with the cfincluded page that is called by the onRequest method. The THIS scope only exists in a CFC or in a method of the CFC. Since the cfinclude is called in a method, then the THIS scope is available in the cfincluded page. When there is no onRequest method, the page is just executed, and the called page, test.cfm, does not have access to any of the cfc variables, so VARIABLES scope is empty, and the THIS scope does not exist.