W3TC will attempt to create an .htaccess file on your self-hosted CDN host so that your browser caching policies can be applied. If you don't see that file on your CDN host, then there's likely a bug with W3TC or your server's configuration. Typically the self-hosted CDN provides performance increases by allowing for use of a cookieless domain (making requests smaller for static files) and for browser pipelining that allow browsers to download more data at once.
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