I'll try to answer this.
Both are boot menu utilities.
BCDW can handle floppy images and setupldr.bin files.
It can boot nonstandard (not \i386 directory) without modification to that file.
It also can boot ISO images if
the bootsector of the image contains the entire application you're booting. (Acronis utilities)
CDShell has 2 methods of booting floppy images, and can handle boot.bin OS loaders from bootable CDs.
It also can handle linux booting via ISOlinux, use compressed floppy images via memdisk, which uncompresses to memory making the image writable until next boot.
CDShell's scripting interface is more advanced than BCDW's menu files.
Personally, I have both using BCDW as my main menu and CDShell for doing specific operations.
Someday I'll make a boot script and use CDShell as my main menu, someday....
There is also a BCDW module for CDShell which works without BCDW's boot sector.