The Shures have a larger-pore foam core inside the tighter-pore foam wind turbulence blocking outer layer, along with a more elastic type foam cuff at the opening. It's a way of retaining high wind noise reduction while reducing the high frequency attenuation effects that would occur from using all the same tight-pore foam. The coarser inner foam is closer to that of plastic filter screening found on the intakes of pond pumps and air conditioner filters.
My take is this- if you just need minor wind protection, home made foam screens can work, but make sure the foam you use is acoustically transparent enough while providing sufficient wind noise reduction. For significant wind, it's usually worth going with a professionally made product. The Movo's are very inexpensive and a new popular favorite here at TS. The Shures are well proven workhorses and the one to beat or emulate. If you need a high level of wind protection and really want to do it DIY, it's probably best to go with faux-fur covers over a foam screen (the more open, coarser foam would be better under fur than standard small-pore foam), or try to do a DIY a plastic basket type screen with a fur cover (with only the plastic mesh and air under the fur).