Hi David,
Yes, CFOBJECT and CFHTTP can be used. We only have a few restrictions (CFEXECUTE and CFREGISTRY) but they can be used in a sandbox too.
We can set up things in the CF Scheduler for you. Just put in a ticket and the techs will set it up for you.
Alot of people use the local install of SQL Management Studio to manage SQL so no problem there.
Java libraries, not sure what use they'd be on a CF server as we don't have Java installed.