CDOs are groups of bonds. Bonds are debts, so they produce real value in the form of interest. If the debtors stop paying, the CDO can recover value in bankruptcy court. CDOs may misrepresent the risk of the underlying assets, but those assets are still there.

An NFT is more akin to a baseball card - it’s value might go up, but that would just be because someone wants to buy it. It’s not producing any income on its own and the owner is no right to recoup the money they paid for it.