If you are DO you could, you just decided not to bother. They control the origins it's spaces (s3), so they could absolutely spin up further gateways or a cache layer and then turn the CDN off.
You outsource it because clouflare have more locations than you so offer lower latency and can offer it at a cost that's cheaper or the same price as doing it yourself.
To the contrary, CDN pricing will usually beat cloud provider egress fees.
Common example: you can absolutely serve static content from an S3 bucket worldwide without using a CDN. It will usually scale OK under load. However, you're going to pay more for egress and give your customers a worse experience. Capacity isn't the problem you're engineering around.
For a site serving content at scale, a CDN is purpose-built to get content around the world efficiently. This is usually cheaper and faster than trying to do it yourself.
