FME supports conversions between coordinate systems using different datums. Many datum transformations are not mathematically definable and require the use of a grid of shifts. If you attempt to make a datum transformation of this kind without the appropriate grid shift file in place, FME will abort the translation. (In older versions of FME, the translation would continue but the FME log file would alert you that the transformation was not done correctly.)
Installing FME from the CD will ensure that the grid shift files provided by Safe Software are installed in the correct location.
NOTE: The downloaded versions of FME do not include many of the grid shift files.