How are you setting up the connection? is that error comming from an application.cfc datasource setting? Was it an existing one, or are you trying to set it up a new datasource through the server or web-admin? Did you have the UTF8 Character Set in the datasource creation in the admin activated?
Another thing: You are saying, you are setting in the “admin to utf8mb4”. utf8mb4 is the table setting for UTF-8. If you use a table with utf8mb4 you’ll need to use UTF-8 as character settings. Please see this post on stackoverflow, it should explain a little bit more about it. Please read all of it, because it will explain in detail the different parts of your application and settings you’ll have to check. Good luck.