GTmetrix and similar testing sites may not recognize the use of CDN on your site simply because they don't know about it. These testing sites work with a preset list of popular CDN domains and if you are not using one of them there is a chance the test will score F for "Use a Content Delivery Network (CDN)" rule.

To go around this you need to tell the testing site about your CDN domain name. For the GTmetrix you can find more info and how to do this on their FAQ page here - https://gtmetrix.com/faq.html