I am glad you are up and running -- there are some issues running CFMXJ2EE for Mac OS X (Developer) with JRun 1.4.1.
AFAIK, these are mostly related to the GUI Install and Sample programs using the PointBase database supplied with CFMX.
So, you should be good to go with what you are doing.
As to the license code:
According to Macromedia, the license code should work on any platform for a given product.
But, since CFMXJ2EE and CFMX Standalone Professional are 2 different products (at two different prices) I can understand that your current license code wouldn't work on a different product.
It will be interesting to see how Macromedia handles this -- please post or email me privately with the resolution.