I'm a tad biased towards the General, but based on power base, I do think he would win.
Being Supreme Commander of the CIS military, along with the troops of its allies, makes General Grievous a force to reckon with. Based on the article above, during the clone wars the droid army outnumbered Republic soldiers 100 to 1. Malgus and his New Empire (I'm assuming) have less of a military than the countless clones that were produced. Grievous should have the advantage in numbers, to be sure.
One thing that is probably needed to be said is that the CIS navy wasn't very powerful. Not many capital ships, and they seemed to have some glaring weaknesses. So I would give Grievous the upper hand on the ground, but Malgus in space.
Obviously a large issue is WHAT makes up their two armies. Malgus has Sith, so that could prove a major threat. Obviously Jedi have been killed by the Droid Army before, but with thousands of Sith running around... it could be an issue. That being said, the diversity and technology shown by the Droid Army is full of surprises and nasty little tricks that could easily throw the Sith off-guard.
Also, although Malgus made allies with aliens and other groups, Grievous's power base consists of the entire Separatist movement.
I'm going to give it to Grevious, for his endless army that would far outnumber (and therefor out-gun) Malgus's.