The docs are not fully clear on this.
If you add this doc to your index you should see the discrepancy:
{ "index" : { "_index" : "testsynonymgraph", "_id" : "7" } }
{ "Name" : "County Federal Police" }
Note the use of County instead of Country
This doesn't fuzzy-match your query whereas DFP does. That's because multi-word synonyms (Country+Federal+Police) are run as phrase queries whereas single-word synonyms (like CFP) can use fuzzy.