I'm posting as someone who in previous life wrote a lot of C++

Obviously any set based operation would be better in SQL.

Other types of business logic, or a complex custom conversion function would probably be better in CLR (Some SQL string functions are quite slow, and could be better managed directly in memory by a procedural language with pointers).

And there is nothing in sql that is comparable to the heirarchical inheritance structure of C++ (or even C#, which is more limited).