To be honest, my previous statement may have been exaggerated a bit. They MAY have the same capabilities (I'm not fluent enough in Android to split these hairs).
One thing that's nice about CWM is that you no longer have to disable signature verifications (like you do in GNM recovery) whenever you want to flash. Not a biggie, but I like it.
Here are some other features in CWM that may not be available in the GNM recovery (not sure what all these do :-/ )
-You can toggle script asserts in CWM
-You have the "advanced" restore feature, which gives you extra options when restoring your backup
-More options (I think) to mount/unmount different aspects of phone (i.e. USB storage, cache, data, sdcard, sd-ext, system)
Like I said, these may or may not be extra "capabilities" of CWM vs GNM recoveries, but it does seem to have it's advantages; namely it's ability to work with Rom Manager. I will admit though, I miss the button config of GNM recovery. I just can't get used to pressing the camera button for enter :-(
Oh, one more thing. I noticed that once I switched from GNM to CWM recovery I couldn't see/use my nandroid backups that were made from GNM recovery. I guess the format CMW uses for backups is different. Plus they are stored in a different location on your sdcard.