I can think of three big differences between the two...
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Garbage collector. There are a few forum participants who are big fans of FEZ. I've asked how the garbage collector effects the application and the answer has been vague. In the extreme case, the application stops running while the garbage collector does its thing. In the best case, the garbage collector and the application run in parallel but this could still starve the application.
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Libraries. If the Netduino lacks support for a piece of hardware you want to use it is very likely you will be the one writing the library. My experience with Microsoft in these situations has been annoying. Typically, their documentation is incomplete so a great deal of time is spent researching basic things (e.g. What is valid for this parameter? Why does this API call return this error code?).
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Delivery / Final Product. It is possible to get an application working on an Arduino, remove the processor, do a bit of soldering, and have a stand-alone product. For a few dollars the processor can be replaced and the whole process repeated. It is very unlikely the same thing can be done with the Netduino (or FEZ).
There are certainly some things that an Arduino is not going to be able to do. My attitude is: use the best tool for the job.