If you're going support always go for the CDR, you're not going to stack damage anyway, and you need to use your base damages, also since you have easy access to mana regen you will do more damage if you cast more spells rather than casting a few big ones, on supports it gets ridiculously useful (example, thresh at 45% cdr can cast a hook every 5 seconds, think about that, also thunderlords gives you a tremendous amount of kill pressure in lane/ damage deterrent ), same goes for more damage oriented supports such as karma or annie, even zyra or brand that have a more "over time" kind of damage.
If you're going a carry, even orianna, karma or lulu that are basically farming supports, take the pen one instead, unless you want to give up a portion of your damage to favor very low cooldowns, even if it doesn't come to my mind any, i would rather always go pen if i'm playing anything that isn't support.