CDNs are not recommended or supported for most users.
They are typically unnecessary unless your site is generating significant traffic and revenue. From a theme and plugin standpoint, a properly configured setup with good hosting and caching will provide the majority of performance benefits without the added complexity.
We generally recommend avoiding CDNs until you are earning at least $1,000/month in ad revenue and can justify hiring a service like NerdPress to manage and troubleshoot the setup.
What is a CDN?
A CDN (Content Delivery Network) helps your website load faster by storing copies of your images and files on servers around the world, so visitors can load your site from a location closer to them. While that can improve speed, it also adds extra complexity and can make things harder to troubleshoot if something breaks.