Yes, the compiler for ColdFire in CW does support those ANSI C defined macros.
In fact, I did not notice any C compiler which would not support them.
So I'm wondering how you tried to use them, and does a simple string literal like "test" work in places where __FILE__ fails for you? For me the description sounds like there is something else not working in your setup, so I think we need more information about how you use them.
Daniel