http://www.scrumalliance.org/community/articles/2011/february/implementing-scrum-(agile)-and-cmmi%C2%AE-together
Apparently CMMI is a more general set of software engineering rules, of which agile methods would be considered a subset, and scrum is a specific popular implementation of that subset, and this is reflected in the templates as well.
Also take a look at Difference between VS2010 Scrum v1.0 vs MSF for Agile software development v5.0 or the latter is the superset? from which one can come to the conclusion again as said above.
You can see this in the wizards definition:
For The Scrum Template:
-"This template is for teams who follow the Scrum methodology and use Scrum terminology."
For The MSF Agile Template:
-"This template is flexible and will work great for most teams using Agile planning methods, including those practicing Scrum."
For the CMMI Template:
-"This template is for more formal projects requiring a framework for process improvement and an auditable record of decisions."