There are plenty of reasons not to use a CDN, not the least being that you might not want to give a third-party access to your traffic. Even static information might be sensitive, accessing some forbidden data can put people at risk. The central position CDN are increasingly taking on the Internet make then worryingly nice targets for snooping by surveillance bodies.
CDNs are beneficial for images and static asset files because pages often have dozens of those so the small speed up of going through a CDN is multiplied many times over.
The difference yielded by moving a single file (the primary page) to CDN is unlikely to make any measurable benefit overall unless you specifically run a site with a very geographically distributed user base.
Even for sites with a NA/European user base you can host in either US or Europe and it makes no difference. The latency is not significant compared to other performance issues.
I imagine data mining for CDNs is very lucrative given they interface customer AND business.
they block 3rd party scripts
Well, you can often pay much less for bandwidth than alternate solutions.