The cayenne pepper and chili powder are similar but they are not the same exact thing.
The cayenne pepper will usually be much hotter than chili powder so if you use cayenne pepper in something you need chili powder in then the dish will be much hotter.
Chili Powder is also made using some different ingredients as well which makes the chili powder give the chili it's good taste.
There are some spices that are ground cayenne pepper but that's not chili powder and if you're making chili then the chili will not turn out as good.
So always use chili powder when making actual chili but you can also use some cayenne pepper in other dishes that you want if you do not have chili powder but if you're making chili then use the chili powder.