Most images that you use in WordPress are generated by WordPress. This means that any CDN plugins that you install in WordPress will work correctly when WordPress is integrated into Magento. This isn't true for WordPress featured images though as these are generated dynamically. This means that featured images can often miss CDN plugins and continue to use your WordPress SiteURL.
In Magento 1, you can add CDN support for featured images by installing the free Magento 1 WordPress Integration CDN module.
This feature isn't available for Magento 2 yet so if you are interested in this feature, get in touch and let us know.