Multisite CDN - WordPress Plugin or directly on WHM (VPS)

Hi there,

I would like to speed up my Multisite by using a CDN. Only thing is, what's the best way to do this?

I see some wordpress plugins that are multisite compatible like cloudlfare:
https://support.cloudflare.com/hc/en-us/articles/200169356-How-do-I-use-WordPress-Multi-Site-WPMU-With-CloudFlare-
But when doing some research, it seems it isn't really supported and not working well.

So I asked my hosting support team, if I could use cloudflare directly on my VPS (WHM).
Not having to worry about my WPMU subdomain setup. And they assured me it was ok and gave me this link on how to set it up: https://www.maxcdn.com/one/tutorial/creating-cname-dns-record/

Now my question is:
Will this actually work with my setup or does someone have experiences with this?

Cheers,
Ronald