Federer is undoubtedly one of the greatest tennis players of all time, and also a very good athlete, but he isn't even the best athlete in his sport, let alone the greatest athlete in any sport of all time. In terms of raw athleticism, I would take Nadal, Monfils, Tsonga, Haas, Hewitt among others over Federer, but none of these guys are close to the level of the true top athletes of all time. The most important thing to be successful in tennis is skill mastery, which is where Federer undoubtedly comes out number one.
In terms of the greater athlete, Federer vs. Bo Jackson, it really isn't even close. Bo Jackson is legitimately one of the greatest athletes of all time who should be a serious contender to win this (he won't because it is partly a popularity contest). Bo Jackson was a world class athlete in 3 different sports (baseball, football, and track) and probably could have been world class at other sports as well if he tried them. He is like that guy at your high school who was among the best at every sport he played, except that his high school was the world.
Jordan will probably win this and he is undoubtedly one of the best and deserving, but he couldn't reach a top level in his second sport even when he focused solely on that sport. Most athletes are great at their chosen sport, but few are athletic enough to be world class in multiple sports. Jim Brown is another multi sport star that comes to mind.
I also do not think that being great at triathlons is similar to being world class in 3 separate sports. The best people at triathlons typically would not be winning much at any of their 3 events individually, instead they are simply the best at all 3 combined. Being world class at football, baseball, and track is more similar to being a world class marathoner, a world class swimmer, and a world class biker all in one. That person would never be challenged in a triathlon, let alone lose one.
I say all of this as a big Federer fan.