As the name suggest, Cal-Mag supplements are meant to increase calcium and magnesium levels beyond what is typically found in standard nutrient lines. This is especially important when using purified water, which lacks the minerals often found in unfiltered water.
Cal-Mag supplements may also include iron and nitrogen. Varying nitrogen levels make some products more suitable for particular growth phases. That is, higher levels of nitrogen may make some products more desirable for vegetative growth, and less desirable for floral production. And of course, the converse is true as well.
A final consideration is that Cal-Mag supplements contribute to EC levels, and may impact solution pH. Given this solution strength and pH may need to be adjusted accordingly.