No official documentation by DirectAdmin since it doesn't support it, however you might try the following + searching the forums & google for more help.
Jon's statement that DA doesn't support DA may be a bit misleading. DA will and does work with ColdFusion; perhaps a better statement would be:
DirectAdmin doesn't care about ColdFusion at all.
We've followed the standard ColdFusion installation instructions without difficulty.
Make sure the version of ColdFusion you have is for the OS distribution you're running, and that it's recent enough to work with the libraries installed on your DA server.
We've just run the installation file without difficulty.
Since ColdFusion is a commercial product if you have trouble installing it you should contact their support department.
Thanks for the correction Jeff. DirectAdmin doesn't support coldfusion in the sense that it installs and manages it, however you should have no problems between it and DA if you were to install it on your own.