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).
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.
CMYK vs. RGB
There's an ongoing discussion about what's better for printing from PyMol: CMYK or getting your RGB to look just right. The merit of both are captured here:
Since pymol's idea of CMYK is so limited (and from a printer's point of view probably shouldn't even exist) you are far better off getting the RGB image out of pymol to look just the way you want it to (assuming a calibrated display and approprate colour profile) and then use a full-featured converter to generate the appropriate CMYK image for the device it is going to be printed on. One suggestion for a converter is GIMP (soon to be renamed something else) because it does know how to use/respect ICC profiles.
Response to Comment 1
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.
Response to Response to Comment 1
If somebody has gotten to the point where they are worrying about their own CMYK separations then telling them to just use a reduced gamut space to limit the conversion problems is less than helpful to my mind. They need to understand what is going on so they can make the decisions that are necessary if they are to get the best colour reproduction on the journal pages.
Activating CMYK In PyMol
Display -> Color Space -> CMYK
Please read the above note about color spaces, too.