They are indeed! I believe this species has disappeared from most European collections throughout the past 20-30 years. Shame really, as these are really impressive animals. I know Antwerp Zoo keeps and breeds them regularly in order to be released back into the wild (in South Africa). I've seen them in a few Spanish, Portuguese, German and some other East European zoos though I'm not sure if they breed them nowadays.
Badoca Safari Park keeps Cape Buffalo, but i believe they are not pure. They haven´t bred yet, not sure if they want to breed them.
Lisbon also keeps Cape Buffalo, and i believe they do bred. They are pure, i´m sure.
I knew that, but I couldn't resist... (And this from a man livining in a country where another man came from and held a famous speech in Zurich about how important it is that European nations come together after WWII (By the way: It was Winston Churchill).