Hi Ben, I don't think there's anything wrong with your CFX. First off, the CFX has similar powerplant to Shadow series, but the rotating breech makes the transfer port longer and loss of fps is expected. This seems to be affecting .22 cal more than .177 CFX, for whatever reason. Secondly, you mentioned that your rifle has only 500 rounds through it, which means it's not fully broken in yet. Give it another 500-1000 rounds and it should go up a bit. Lastly, the CP's have pretty tough skirts, try JSB's and see how they do.
And remember, it's not all about FPS! Consistancy and accuracy are more important.
Hope this helps
Chris