Yes, the directory-watcher runs in a single thread. However, the question whether or not "all 3 files run one at a time" is irrelevant. It is the directory-watcher that runs.
When the watcher runs, ColdFusion records the current state of the directory. The watcher then sleeps for the duration of the interval. The interval is, by default, 60 seconds. When the watcher re-awakes, it compares the present state of the directory with the saved state. It then knows - at once, during the same single thread - which files have been added, deleted or changed.