You don't need coldfusion. It's only a 'simpler' scripting language for server side things that uses html-like tags. If you want to go with Coldfusion you also need the coldfusion-server, which you have to buy seperately from Macromedia. It's expensive and why should you. You have Apache with MySQL and PHP modules already in OSX.
PHP and the like ( ASP, JSP, Perl & a lot more scripting languages) are already fully integrated in Dreamweaver MX. DREamweaver MX incorporates now also the former (then Windows-only) Ultradev wizards for connecting to databases. I find these wizards rather complicated so I think you better learn a few PHP commands. That way you can use it in Flash too. PHP and so on dictionaries are also integrated with Dreamweaver MX