Actually, the concordance option is not available for subdistributional hazard models (Fine and Gray models).
When you use the option event= in a PHREG model you cannot use concordance, ROC ...
How can I compare the predictivity of these models?
I checked with the PHREG developer on this and "currently there are no methods to compare FG models in PHREG".
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ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.
Find more tutorials on the SAS Users YouTube channel.