Does one always accept good funding (Marie Curie)?
There is a difference between good funding and prestigious funding. The Marie Curie fellowships are prestigious funding, but not really good funding. They pay a lot in salary (in some fields it could be twice what you are making in the US) but don't offer much else. The duration of fellowships are no more than 24 months, I believe. There is no funding to hire a PhD student or even an RA or funding for the actual research. There is no guarantee of a job at the end. The Marie Curie fellowship is nothing like a permanent position. Again, it is very prestigious, so congratulations.

Apart from the salary (which I am guessing is higher), what does the fellowship give you that your current supervisor is not (e.g., how long is your current contract and can it be extended). This is really the type of thing you need to talk to your post doc supervisor about.