According to the informations thus far posted in different topics sfi.dat it is locked file and thus will not defragmented. It cannot be accessed before uninstalling CIS.
It is likely sfi.dat is locked for use by CIS and thus Windows Defragmenter ought to skip it like it usually does for windows swap file (pagefile.sys).
As the file is locked and it cannot be accessed, it cannot be deleted. Such locked files ought to be deleted at reboot using specific windows functions.
By naming alone SFI.DAT looks related to Comodo antivirus and its SFI feature. If so no wonder its protected.
In case it is confirmed the unistaller is unable to remove it, once notified the developers will surely address this glitch.
Windows Defragmenter ran fine here it completes the defragmentation task although it skips sfi.dat (1.5 Mb)
AFAIK locked files, like pagefile.sys, are not usually defagmented although some defrag appplications may not explicitly report about them.
Defragmenting Your Pagefile
How to defrag pagefile.sys and hiberfil.sys with PageDefrag