Well, all 1MB L2 K8 (A64, AFX, Opteron) share the same die (with the same memory controller). But Cool'n'Quiet doesn't work with registered mem. And S940 CPUs only work with reg. mem, which was necessary to get dual channel working for the earlier K8 core revisions. Thus S940 AFX and Opterons can't use Cool'n'Quiet.
With arrival of the CG stepping the dual channel issue has been fixed (signal quality problems with dual channel and many unbuffered DIMMs). So the S939 AFX can use dual channel unbuffered DIMMs, which means, Cool'n'Quiet is possible.