At the absolutely simplest, the OOTB Microsoft Provided is easier for configuration, they manage it so you don't have the headaches and it is great for Power Pages, as long as they are internal primarily. This is because you are "most likely" having your users close or VPN'd in etc, so there is no need to go with the more "controllable but more... hands on required" approach with a 3rd party CDN.
However, its sort of like the Azure SQL Sitting behind D365. You have a fair amount of control but not as if it was your own SQL Server.
So if you are looking for the ability to hands on control your destiny (hehe) in the CDN space, then using a 3rd party is the way to go. Global, higher volume, customized requirements, targeting external people versus internal so scale matters as well as the need for potentially other security controls.
Even if your site is externally facing, it does not mean you need to go with a paid 3rd party, I base it on the complexity, security requirements, volume and velocity of users and how many at the same time, so it needs more umph that you get from, well in your case the question was on CloudFlare but any of them.
hope this helps.
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Thank you!
Sincerely, Michael Gernaey