I really don't know if that scope is air gun rated or not. You might ask in a separate post on the Airgun Gate section. I'm sure there are many CFX owners here who can point you to the best pellets.
The "gunsmith" was only quoting Gamo's ridiculous claim about the 1,000 fps. That would be with light, alloy pellets which you DON'T want to shoot. If they came with it, toss them or use them in something really low powered. Should you feel the gunsmith's statement will get you in trouble, you can always chronograph it. It will be well below 1,000 fps, rest assured. And, if you are forced to, go with the heaviest pellet you can for the test. Ought to be even slower.