Hi @John Marañon,
Does the spfx webpart work in workbench.aspx? This usually caused by your code build failed. When you run gulp serve, there would be error in node console. You could check the error and fix it.
For CDN, If Microsoft 365 CDN is enabled, it's used automatically with default settings. If Microsoft 365 CDN isn't enabled, assets are served from the app catalog site collection. This means that if you leave the includeClientSideAssets setting true, your solution assets are automatically hosted in the tenant. Please refer to this article: https://learn.microsoft.com/en-us/sharepoint/dev/spfx/web-parts/get-started/hosting-webpart-from-office-365-cdn
To verify that you have CDN configured properly, please run the command: Get-PnPTenantCdnOrigin -CdnType "Public"
. Make sure you have a Public CDN origin configured for ClientSideAssets.