Fender custom shop is really nothing more than regular poly finished Fender guitar with a coat of nitro on top of the thick poly, and maybe different pickups. But then again custom shop pickup can be bought cheaply...
I don't know about the finishes but as far as a comparison goes I'd say the other main things to consider are the construction, the materials and the "vibe".
The Fender Custom Shop team are experts at guitar building but as long as you hire a quality luthier to assemble your Warmoth parts (consult with them before you place your order) there should be no difference there. As far as materials I'd say that the quality is equal between Fender and Warmoth with a slight edge to Warmoth if you're looking for fancy woods or boutique pickups.
As far as "vibe" goes, if you're looking for an exact replica of a vintage instrument then Fender may be the way to go but Warmoth can do that also. If you're looking to build your ultimate dream guitar (and I know you are) then Warmoth is the obvious choice.
I'm the proud owner of a beautiful Fender Custom Shop Telecaster with the most gorgeous birdseye maple neck I've ever seen. It's a great guitar that wasn't cheap and I still had to shell out a few hundred bucks to put in Lindy Fralin pickups and upgrade the electronics. Now that I'm building custom guitars to my personal specs I don't think I'll ever buy another electric guitar off the shelf again. Try it... you'll like it.
I don't own one, but was appalled at the "value for your money" proposition when I auditioned a number of Fender Custom Shop models in the $2500-5000 range when looking to treat myself to a new axe with some of my annual bonus a few years ago; this is actually what got me into building Warmoths.
Quality wise, there's no real differential between the Custom Shop models and the $1200-1600 range of American Strats, and I'll be damned if I can detect any additional "quality' in even the most expensive "Masterbuilt" models. As noted above you are pretty much locked into buying versions of older Fender models, and paying a LOT extra if you want them to beat up the guitar for you before you buy it ("Relics").
I DO like the Fender Custom Shop pickups used in most of their models and use them in some of my builds. They are great reproductions of their vintage pickups and conversely are a good deal for the money if you're trying to get "vintage" Fender sound.
Many of the Custom Shop models DO have "real" nitro finishes; some have "Nitrocellulose lacquer over urethane finish", although I don't quite understand the point of that, unless they are using a top nitro finish without UV protectorant that will "yellow" over time.
If you're just talking wood; on average, all things being equal anything you buy from Warmoth will be of equal, and usually better quality wood than what you get from any Fender to include the Custom Shop models and of course you have a vast array of more choices than you do from Fender; if you're going to spend that much on an axe, it should be PRETTY!
Leaving "relics" out of the mix, you can do your own version of anything the Custom Shop puts out using Warmoth parts and have the same or better quality for a lot less money. For example, a '56 Strat Closet Classic is $2820 from Musiciansfriend.com, about the cheapest place to buy one. All the parts, to include the same pickups, would cost you $1182, but that includes a AAA Flame Maple top on the body in vintage 2-tone sunburst and a AAA flame maple Total Vintage neck with vintage gloss finish, and in this case I'll guarantee you'll have higher quality wood