WARNING: I’m not a Nik expert, although experienced enough to know that I’m not the one. Put it simple: want more sliders => go Nik, want more speed => go FP/PL.
The following is about Siver Efex (SEP, aka SFX), as Color Efex would require even more text.
Executive summary: Nik gives you more sliders.
Standard summary:
- Nik is useful for getting unique look
- Nik needs time
- Nik UI may let you down – it is slow compared to PL
- Nik gives you more sliders than FP, the differences being small, but sometimes worth the effort
- you must have enough time and patience to use it – Nik isn’t about brewing industrial beer
- Nik is often good to approximate your target settings using its previews
- want more unique sliders – go Nik
- if you don’t have specific and subtle enough goals, forget Nik
- if you like experimenting or want to learn B&W, use Nik
- comparison between FP and Nik is a personal thing, so try it yourself
- you may loose some detail in Nik, be it on purpose or not (no details provided for this claim, just some possibly silly experience)
- watch for posterization – standard problem with similar edits, especially in shadow recovery
- to get quick feel of Nik’s ‘speciality de maison’, try the following sliders in ‘Basic Adjustments’: ‘Brightness->Dynamic brightness’, ‘Structure’ family (it’s much different than FP fine-adjustments imho, different fall-off), ‘Contrast->Amplify Whites/Blacks’ (maybe Nik experts could add something here?)
- Some edits might be easier in SEP, some in FP/PL
- Nik may help you learn B&W
Background: Just few months of Nik experience, so don’t trust me too much. Most of my work is event photography, be it sports, dancing, or concerts (but no more weddings, uff). It’s fast action under “dirty” and poor light, noisy photos, mass production, short delivery times, getting more or less natural colors – something PL is perfect for. Hence I also try to make some other types of photography, not to be bored to death 
But even with my standard work, I try to deliver some personal look. Perhaps only 1% of my photos go to Nik. These have some special potential, not obviously attainable in PL/FP alone.
My workflow is most often like this: edit in PL, export to TIFF, use SEP, export to TIFF, use PL for final adjustments and jpeg export. Obviously this workflow is useful only for unique cases.
Nik has some serious deficiencies for me – no sidecars (you have to manually save your edits as presets (kept in the Nik database)), no version management (manual workarounds necessary), poor mouse wheel support (you have to switch to “keyboard mode” editing, which I’m not used to, but some may prefer it), no raw processor (additional distracting step), no multiple image processing, not too fast (PL is much faster to stay “online” with your edits).
Comparing SEP and FP. Let’s go through SEP settings.
Film Grain (Branded)
Personally, I would use the FP version.
FP gives you more control over the branded grain than SEP. There might be some niuances critical to film grain masters which I’m not aware of, though.
BTW, FP grain is just a repetition of a relatively small tile, probably 7x7mm of film scan. Not sure about SEP. It shouldn’t pose any problem, so better don’t worry about it (unless you are able to notice repetitions of a white dot on a clear sky ).
Color Filter
Very simple in SEP, maybe less prone to posterization than Channel Mixer in PL. Hard to say if it’s better than FP ‘Filter’ tool – both are quite primitive, but good enough in most cases. Feedback required.
Basic Adjustments
Most complex tool in SEP, with a misleading ‘Basic’ qualifier. Splits into several groups of sliders:
- Brightness – ‘Dynamic brightness’ is something you won’t get in FP or PL SmartLighting (which might be ‘better’, but still different)
- Contrast – the way Amplify Whites/Blacks sliders work seems to be unique to Nik. I’d like it to be in PL.
- Structure – nothing comparable in FP afaik, another basic feature which should find its place in PL.
- Tonality Protection – not sure when it works, experts welcomed
Let’s stop with the basics, as they require too much space to discuss here.
Selective Tones
ST in PL add/remove some microcontrast, while in SEP they act more like pure tone curve adjustments. This looks like a major difference, but I didn’t check it for sure.
ClearView
I didn’t “study” the difference yet. PL version seems to be more aggressive in colors. SEP version looks more “neutral”.
Toning
There’s more control in FP, but more previews in SEP. You may test adjustments in SEP first and use them in PL only to start a second round.
Vignette
The SEP implementation better suits me – I like the transition, shapes, easiness. Example usage – instrumentalists, especially piano and bass. Note that I’m often using “invisible vignette” in PL first, but that’s for a different purpose (thanks to @Wolfgang for coining the name in this forum, maybe it has more “fathers” elsewhere).
Burn Edges
I like it and I use it. Perhaps not so often applicable, but can make a difference, e.g. for moody portraits. Missing in FP.
Image Borders
You have more choices in FP, but some of them in SEP look more “tasty”. In SEP the border is always white. Used it maybe twice (happened to be the SEP version). I would like to be able to add some description text on the border (documentary or watermak type), in which case I have to use ImageMagick, as I’m too lazy to look too far for a “proper” solution. Still NP for me.
You may find some old posts useful, e.g. recall this post by @uncoy and some @Joju comments following it:
See also Are DXO Having a Laugh, or just Money Grabbing? - #58 by Joanna – if you think @Joanna’s emulations in FP replicate SilverEfex Amplify sliders well, then SFX is not for you (but that doesn’t “prove” the reverse implication :-)).
Hard to call it a true SEP/FP comparison, so maybe someone will try to do it better. Too much is often too little.