Did not know that. That sounds extraordinary wasteful, there must be a file hash based method that would allow sharing such files between domains.
Just like you wouldn't use same table in your system for all users in a multi tenant application.
Tadaaa! Tracking.
There's no such thing as non-sensitive content from a CDN though. Scripts are obviously sensitive, styles can be used to exfiltrate data through background-url directives, and anything like images has no benefit being cached across sites.
Fonts might be one exception, but I bet those are exploitable somehow.