As these are NOT RZR clones they have different attributes. So to compare the two it would depend on a few variables. Budget, riding style, riding geography, and fit.
As NMK said they both have pros and cons. CFM are better handling downhill crawl as its equipped with an engine brake, CFM 800 is a lil faster than the RZR 800. Personally I like how I fit in the CFM 800 more than the RZR, passenger (OH Sh!T) handle IMO is much better. CFM has an e-brake, Fully adjustable shocks, and comes with a bunch of extras that you'd probably purchase extra on the RZR.
Now the RZR will have more dealerships, 4WD will kick in automatically when one wheel slips. (Good and bad on that) Nice you don't have to push a button, but can cause you to snap an axle.
They're both strong machines, just comes down to what you like and how you ride. And what you have in your budget.
I can say I've never been disappointed in mine and its never left me stranded.