The hex value CF (or any part of a word containing it for that matter) does not occur in the product manual. So I think this is a matter for Digi.com Support to answer what this status answer might be (of ATAI). Undocumented it seems.
Manual: http://ftp1.digi.com/support/documentat … 2180_K.pdf
Module product page:
http://www.digi.com/products/wireless-w … wi-fi#docs
p.s. Or better, try to manually perform the same commands that the code does via a terminal program (XCTU) to connect with the AP and see if you get the same response. There is some byte-juggling going on in the code with the status values. So better make sure that isn’t distorting things.