Why does my fan switch sometimes turn the lights off?
Your wiring looks okay (except for the redundant "power to dimmer" and "power to fan" wires -- as I commented, you don't need the extra pigtails, just connect the switches directly with one marette).

I can think of 3 possibilities:


The z-wave dimmer is not operating properly with the CFL. Try using a regular incandescent or halogen bulb, and see if the problem goes away.
The z-wave dimmer is being affected by the electrical/RF noise that the fan generates when it turns on. Ensure the fan switch is designed to handle inductive loads, or try replacing it with another brand of switch.
The z-wave dimmer is defective.