CDN usage, images 'not from cookie free' source

Hi there.
One of the websites we support is using the Pro Plan with CDN.
However, when we run checks on GT Metrix, none of their images are loading from Cookie Free domains. They all appear to be from their own hosting.

Is this normal with the Cloudflare CDN? It means the Y-Slow score is 0.

Regards
Simon

https://community.cloudflare.com/search?q=gtmetrix%20cookies

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