I've heard that CFHTTP calls that point to a local server can cause additional delays for the user. As this is a HTTP request, it seems to me that any delays would be negligible - though I don't know a whole lot about networking/systems and load-balancing.
Are there any downsides/cons to using CFHTTP to make local calls and if so, are there ways to mitigate those?
What is it that you're trying to do with these HTTP calls? If whatever you're fetching by HTTP is on the local file system, actually using the file system (fileRead(), include, etc) rather than the network to get them will be more expedient.
That said, if you do actually want to perform a request for whatever reason (which is completely legit in some situations), then I don't think the performance overhead would be something to worry about. Although I'd not want to be doing this sort of thing on every onRequestStart(), etc.
I think you need to elaborate on what it is you're setting out to achieve here.