The CDN can be for instance from your hosting company. All the CSS/JS can load from the CDN URL, but for some reason, the ones from /wp-content/cache/asset-cleanup/ are still loading the web site’s URL (original location). If you’re using Cloudflare’s CDN, which acts as a reverse proxy, then you do not have to enable this option. Everything is done on Cloudflare’s servers (no URL ti update on your end).
The URL could be like //yourwebsitedomain.com/wp-content/cache/asset-cleanup/css/style.css – Instead, it should be like //yourzone-1a2b.kxcdn.com/wp-content/cache/asset-cleanup/css/style.css. So, your website uses KeyCDN and it’s been working great so far and noticed that the integration was skipped for files pointing to /wp-content/cache/asset-cleanup/, then you need to enable “Enable CDN URL rewrite?” and set the following to the values (if it applies to both CSS and & JS files which is usually the case): //yourzone-1a2b.kxcdn.com (just like in the print screen below).
What you need to do first (before using this option if it would still be necessary), is make sure the CDN is set up and there are various plugins that could help you with this, depending on the service. For instance, if you use KeyCDN, you can use the following tutorial to set it up: https://www.keycdn.com/support/wordpress-cdn-integration-with-cdn-enabler. If you’re using BunnyCDN, then you can install the following plugin that is specifically tailored for this CDN service: https://wordpress.org/plugins/bunnycdn/, etc.