CDN does not work with the Litespeed Cache plugin

I do not know in which version this problem started exactly, however I have tried putting it to set up a CDN for my site and it just does not work. I've been able to do this successfully with the "WP CDN Rewrite" plugin, however I do not see any reason to use an additional plugin when Litespeed could do this natively.
With "not working" I just say that even after applying the settings my page does not change any URLs. No broken pictures appear, or anything like that, there is simply no change on the page.
I checked the WIKI and my settings are correct.