Every HTTP/HTTPS request is an effort for the web server.
Requests made for JS, CSS or any other static file would be redirected to a CDN which usually has a distributed, fast and stable architecture.
If you are managing a web app or site with pages that perform many requests and you are receiving a lot of users, the number of HTTP requests per second may increase dramatically; if your web server starts to respond slowly it would be a good idea to split the requests, CDNs are really good at managing static contents.
Basically performing tuning, the server may be scaled less and save money.
If you are not facing a lack of performance maybe you don't need to use a CDN.