Ok, I've edited this to refine the question and solve all my problems.
I host my own CDN. I've uploaded all the necessary files to it. My goal was to host the necessary files (such as static files, images, etc) there in order to speed up my site. As the configuration goes for this plugin, I think it's all in order.
When I click on images on my site, they don't appear to be served by the CDN. For example, I dont get a cdn.website.com address when downloading the image. I get the website.com address.
How can I tell if the CDN is serving the files? I can't really be sure from the diagnostic test reports I run (GTMetrix). Thanks in advance.