If you make it a [Flags] enum, you can assign a different bit value (1, 2, 4, 8, 16...) to each enumerated value. Then you can use a bitwise operation to determine if a value is one of a set of possible values.
So, to see if it is C, D, or F:
bool IsCDF(MyEnum enumValue)
{
    return ((enumValue & (MyEnum.C | MyEnum.D | MyEnum.F)) != 0);
}
or using HasFlag() (less efficient but more readable):
bool IsCDF(MyEnum enumValue)
{
    return enumValue.HasFlag(MyEnum.C | MyEnum.D | MyEnum.F);
}
Note that this will not work for a value of 0 (in your example, 'A'), and you must be careful that all enum values resolve to unique bit values (i.e. non-zero powers of two).
The advantages of this approach are:
- it will typically take a single CPU instruction/cycle to execute, whereas doing three separate "if" checks will take 3 or more instructions (depending on your target platform).
- You can pass the set of values that you want to test with as an enum value (a single integer) instead of needing to use lists of enum values.
- You can do lots of other useful things with bitwise operations, which would be clunky and slow with ordinary numerical/comparative approaches.
Handy hint:
When defining [Flags] enums, use left-shift (<<) to make the bit values clearer (and much harder to get wrong) especially for higher-order bits:
[Flags]
enum MyEnum
{
    A = 1 << 0,     // Equivalent to 1
    B = 1 << 1,     // Equivalent to 2
    C = 1 << 2,     // Equivalent to 4
    D = 1 << 3,     // Equivalent to 8
    …
    Big = 1 << 26,  // Equivalent to 67108864
}