Questionable? There is no shortcut for the speed of light, regardless of how optimized the HTTP and TLS protocol gets. Building your own CDN is no easy feat if you want the performance, security, scale and reliability that you get from a focused vendor.
Everything on the internet is a product of thousands of vendors, hardware equipment and software components working together. There are millions of factors that can and may be compromised so the only realistic approach is risk management.
It's far better to rely on a well funded, staffed and capable vendor rather than building your own version. This is solid advice for everything outside of the expertise of your business so I'm not sure why a CDN is anything different. Assess the risk and do what works for you.