CMYK
Introduction
CMYK is a device-dependent colour space, i.e. the colour that is chosen to match to a particular RGB colour depends on the machine it is going to be printed on (and hence the inks that will be used in the printing). Therefore there is no one-to-one mapping of CMYK values to RGB values (even with a profile defining how the RGB values should be displayed).
Value
In the real world, scientists do not have time or resources to mess with color profiles and color-calibrated hardware. They simply want to go from screen to hardcopy knowing their colors will not be grossly distorted by their hardware, which is often consumer-grade, non-calibrated equipment.
Though CMYK is indeed device-dependent, there are some color regions that, *in practice*, are more problematic than others when printing from an RGB source. If you stick to safer regions of RGB space that are pragmatically captured through PyMOL's "CMYK" space command, then you will get closer to a WYSIWYG experience even in the absense of calibration.
On the other hand, blithely working in RGB space and then relying upon automatic RGB->CMYK color translations in the *absense* of color calibration for both display and printer almost always results in unacceptably poor color quality, and that is the practical real-world issue facing PyMOL users.
Unless you have calibrated hardware for both display and printer, you are definitely not far better off getting the RGB image out of pymol to look just the way you want it to. Instead, you are far better off avoiding areas of RGB color space that are difficult or impossible to handle without professional-grade color hardware, and that is the sole task PyMOL's CMYK capability is designed to help you with.
Activating CMYK In PyMol
Select
Display -> Color Space -> CMYK
Please read the above note about color spaces, too.