I've noticed that when the same image (for example) appears in the same page multiple times and multiple CNAMES are used the URLs same URL may be re-written to point to different host names.
So http://example.com/wp-content/images/icon/icon1.png may be rewritten as http://cdn1.example.com/wp-content/images/icon/icon1.png, http://cdn2.example.com/wp-content/images/icon/icon1.png, and http://cdn3.example.com/wp-content/images/icon/icon1.png in the same page meaning it's now three network connections instead of one.
There's probably a more efficient way to do this, but would it be possible to change it so that when a matching URL is found that URL is replaced in the entire page? So the first time it was hit it would replace all http://example.com/wp-content/images/icon/icon1.png with http://cdn1.example.com/wp-content/images/icon/icon1.png, then if it later tried to replace it with http://cdn2.example.com/wp-content/images/icon/icon1.png it wouldn't be there any more.
For now I've just gone back to using a single CDN host and that works fine. Thanks!