@Tim Gitchel You are right about the CDN not forwarding the CORS headers, which is why the browser is rejecting the requests. If you had enabled CORS after setting up the CDN, then you would have to purge content and it should have worked after that, assuming the origin sent back is either *
or the hostname of the CDN.
While it may not be applicable to your scenario since you just have a wordpress site, for others coming across this issue and require supporting multiple origins, you will have to setup rules to return headers as required. Check this doc for more information.