I don't believe there's any issues, though it's not something I've explicitly tested.
Attachments stored on a CDN will be open to security breaches, allowing unauthorised parties to access your attachments regardless of forum permissions.
On my forums only admins and mods can attach images. Other users have to link them from other sites. I am not real concerned since we only use attachments for articles. We made this swtich about 6 months ago so I do have about 40,000 images stored. When I add the folder to the folder list I get a server error when I try running it. I assume it is because of the amount of images and it times out. Do I need to change the php execution time to fix this?
Also if someone changes their avatar is it going to automatically sync? (I added customavatars to the folder list)