So create one massive target that needs to be breached to access massive numbers of websites around the world?
Imagine if every Windows PC ran code from a single web page on startup every time they started up. Now imagine if anything could be put in that code and it would be ran. How big of a target would that be?
While there are cases where the performance is worth using a CDN, there are plenty of reasons to not want to run foreign code.
(Now maybe we could add some security, like generating a hash of the code on the CDN and matching it with a value provided by the website and only running the code if the hashes matched. But there are still business risks even with that.)