I think I have a similar problem.
I have setup the selfhosted-cdn on one domain, domain1.com like this:
cdn1.domain1.com - cdn4.domain1.com (W3 Total Cache asks for several cdn for each kind of files)
The cnames like cdn1.domain1.com points to the site on which I want to call the cdn files: http://www.mysite.com
cname on DNS settings is set up like this:
IN my adminpanel, I have told the subdomain, that it is a cname to http://www.mysite.com, too. The cdn1.domain1.com (from adminpanel too) is pointing to the root folder of http://www.mysite.com.
Then I think I should be fine and have a cname without cookie-setting.
As soon as I am finished with the FTP settings I load up the files to the /cdn. Successfully.
But... when I enable CDN, the files of the theme are broken.
I have no styling at all, just plain text and images, that are in unnormal shape.
So, I think anything happened to the CSS, JS and maybe more.
My cloudflare is set up too.
I turned off the minify settings in cloudflare and purged cloudflare cache. Only security and caching is enabled in cloudflare.
In W3 I have not enabled up minify.
As soon as I enable cdn in W3 the site breaks.
What could be the problem?
Thanks in advance.
(BTW: When everything would be fine on the server, Xcache, Minify, selfhosted CDN and all things delivered initially by W3, and THEN I enable cloudflare, does Cloudflare improves anything on TOP of all of the things made on the server, or does it also maybe slow down thing or make them worse, then without W3? Because maybe this is all a littlebit TOO much.