For me, while they both do boast great linearity and high detail, there is a huge difference between the two: one makes the music enjoyable, while the other butchers it.
Mind you, this is an exaggeration to make my point more obvious.
The grey filters PFE has one feature that is pretty impressive for it's price: that is linearity, meaning a relatively flat frequency response on a professional level. The other is high resolution. The latter goes hand-in-hand with a thin sound which helps to retrieve details better.
Now, the Westone 4 has a slightly warm tilt, yet also being very smooth on the frequency response. The resolution is better than with the Audéo, but I would argue if you even need that much resolution. Very impressive, however, is the solid bass performance of a flat extension to even the lowest notes. There is one feature that I value highly with the Westone: the veil. Where the veil actually comes from, is from brightened bass and darkened highs, resulting in a little squished middle. It sounds awkward at first, but it makes you look at the music as a whole a lot more easily, while being technically very impressive. It also becomes less apparent if you turn up the volume, so if you're not willing to relax, you won't have to.
W4 versus PFE:
Technically the W4 is much better. But that isn't always a good thing. When I compared HJE900 and PFE, the Panasonic was technically inferior but was much more easy to listen to.
The Phonak precisely cuts the sound into pieces, giving you all the details. But here is the problem: if you don't want to look at the details (say bad recording or just to kick back and enjoy the music), the PFE will do its best to annoy you. If you lose your focus, the sound will appear thin and bright - in one word: butchered.
The Westone will do the opposite: all the details are pulled together. You focus, you enjoy! If you lean back, the veil will give you an enjoyable distance to the music and you will have a complete overview from lowest bass to all the highs you need. Described in one word: musical. (As in no distractions.)
To conclude my personal observation and opinion, the Audéo is an impressive failure if your aim is to enjoy music. If you are into technical features and get a hard one with specs, you probably think differently.
On the other side, the W4 is the most enjoyable and most well rounded BA I've heard.