My limited testing with a few types of SFP (and SFP+) modules (some branded Ericsson and some OEM) with wavelengths between 1290 and 1610nm, both CWDM and "usual" 1310nm ones, showed that receiving photo-diode is always wide-band. E.g. link successfully established between "usual" 1310nm SFP and 1570 nm CWDM SFP ... if connected with simple fibre cable without MUXes. Or link between CWDM SFPs for different wavelength.
Which essentally means one must use CWDM de-mux (on RX side).
Use of CWDM mux (on TX side) is highly recomended ... some measurements we did on CWDM SFPs in hars conditions (operating temperatures on the edge of declared temperature range) showed that some SFPs changed actual wavelength on TX enough that it was out of standard. If CWDM mux is used, then this means loss of single CWDM link, without using CWDM mux such malfunctioning SFP would interfere the adjacent CWDM channel as well.
In addition to that, quality CWDM muxes have almost neglectable loss[*] (around 0.2dB regardless the wavelength) while fussing with daisy-chains will most likely cause much higher loss.
[*] surely there will be double connector loss as compared to direct connection of fibre to SFP module