I had improperly chosen the "Origin Push" method in the CDN settings (General tab). The better method is "Pull (Mirror)". Then, before enabling CDN, I went to CDN tab and completed the Configuration. I then created a CloudFront Distribution via "Create Distribution" button and S3 Bucket attached to it.
Returned back to "General" tab and enabled CDN, once again ensuring that the Origin Pull method was selected in the dropdown.
Now, I'm up in the process of "importing attachments into the Media Library" after selecting "Import external media library attachments" checkbox in General setting tab.
We'll see what happens next, since I'm running domain mapping in a WPMU installation and noticed that the Distribution's Origin url is different than the mapped domain, e.g., site1.MyWPMUmainSITE.com (Origin url) and site1.com (mapped to url). Hopefully the redirect won't mess things up.