The problem is not the CDN (or arbitrary shared source domain) being able to track you but the sites which use the CDN. Furthermore a CDN can't track you as si

The problem is not the CDN (or arbitrary shared source domain) being able to track you but the sites which use the CDN. Furthermore a CDN can't track you as simple as you might think, it often would require thinks which need explicitly opt-in agreements on a per website basis to be legal. Furthermore due to technical limitations you can only get that permission from the user after the CDN was already used. CDNs can still track aggregated information to some degree but they can't legally act like a tracker cookie.