I have been using this plugin for several years now and are very happy with the speed increase, particularly when using with minify with APC.
I just tried to set up a self-hosted CDN with W3 Total Cache, and my public_html folder got totally deleted, gone, vamoos, vanished!
I had created the subdomain & FTP account in cpanel, and was entering the various values into w3tc CDN 'Configuration' window.
I clicked the 'Test FTP server' button - next thing I had a 404: 'The requested URL /wp-login.php was not found on this server'.
Thinking something in w3tc had run amonk, I logged in via ftp to disable the w3tc plugin.
Imagine my surprise to find my whole public_html folder gone!
Lucky for me this was our TEST website.
Any plugin that can do this is downright DANGEROUS