Follow-up: While the test says fail on the plugin's CDN page, the actual functionality is working, for me at least, not just for one but for several CNAME's.
So for anyone else with this concern, perhaps take the message with a pinch of salt, maybe purge the CDN cache (I did, not entirely sure it was necessary but it's no big deal) test your site and see from what hosts, for instance, your assets are resolving using a tool like YSlow in Firebug.
"(Damn splendid plugin otherwise Frederick.)" ... Otherwise? HEavily assisting a 98/100 YSLow score, I meant entirely. :)