Just so you know, there are a few variants of both the 940mx and 530. There are gddr5(fast) and ddr3(much slower) memory versions of both. Also there are different memory sizes of both - 2 gb and 4 gb variants (tbh, memory sizes dont really matter for these gpus, as much as the memory type does). Note, I wont be talking about the different chip types of the 940mx here since that will just make my answer much more lengthy.
Both the gddr5 versions of the 940mx and 530 are decent entry level 720p resolution gaming gpus. However, comparing these gpus (with gddr5 memory), 940mx is the better one. Overall, 940mx with 4gb of gddr5 memory is the best among all the variants of 940mx and amd 530. Anyone can correct me if Im wrong, but I think the chances are that the ddr3 version of the 940mx is around the same performance level of the gddr5 530, if not better.
Now, if your priority is gaming with your laptop, its best to go for the one with better gpu, which is likely to be the 940mx. But you will be sacrificing a little cpu performance as you will be getting the 7200u, which might not be that big of deal.
Regardless, if the scenario is such that the 940mx you are talking about is ddr3 and the 530 on the other laptop is a gddr5 plus if cpu performance is the MOST important priority to you and you are ready to sacrifice a little gaming performance, then go with the i7 7500u and amd 530 gpu. But again, if gaming is your priority go with 940mx.