A little off the subject of your post, Charles, but I was wondering if any of the .22 CFX crowd have tried any of the light weight pellets? Beeman has 3 that I know of under 14 gr., the Laser @ 13.36, the Silver Bear @ 12.65, and the Match @ 13.75. I never tried them in .22, but the .177 Silver Bears were surprisingly good in my .177 CFX. If it was a firearm bullet, I'd call it a semi wadcutter, semi hollow point. Good pellet, especially at shorter ranges.
Regarding your scope choice, I say get what you're happy with. I was shooting indoors at 10 yards last winter with an RWS 350 .22 with a Simmons 44 Mag 6.5-20x44 scope. Turn it all the way down, and it works fine. If that's still too much, and I happen to think it is for a CFX, get a nice 3-12x scope. That's what I had on my .177 CFX, it worked for me out past 50 yards using charcoal briquettes as targets. I had the Leapers 3-12x44 30mm full size, liked the scope, but had too many failures with Leapers to feel good about recommending them. But there are lots of choices in that power range. Whatever you decide on, get the best scope you can afford. I know, it's "just an airgun", but most of the fun comes from hitting what we shoot at. And being confident we can. Scope problems almost destroyed that for me at one point, so for me, a cheap scope really isn't. Good luck, and hope that's some help.
Dave