First..CFM brakes can suck..bad, but there is usually a reason and we'll get to that. Second, NEVER use the winch to hold it on a trailer unless you want to replace the winch or cable. Just don't do it. Third, e-brakes..when adjusted right stop the wheel from turning. That won't stop the unit from bouncing and moving on the trailer. Only correct strapping will do that. Adjust the e-brake so the engine can't move the unit with it applied normally and use it..with the transmission in neutral during transport with it strapped-down properly.
OK..sucky brakes. From experience, mine also came from the dealer with sorry brakes...so bad it too was like having NO brakes. It was because of a couple-three..maybe four of things. First, the factory had put a coating on the brake rotors to keep them from rusting during the ship transport across the ocean that the dealer was to spray off..but didn't. Next, there was air in the system that needed bled-out. And third, no anti-rust..or grease was used on the sliders of the calipers so they all rusted and seized during transport. And finally, the pad materials CFM uses is very cheap and very hard and have a low friction factor. After fixing all this and putting on a set of softer pads from EBC, I can stop with only using one foot on the peddle..not two. NOT anywhere close to my friend's RzR which is like a car with power brakes but at least I can slide all fours if needed. You should complain to your dealer and bring up these points.