There are probably multiple ways to reverse proxy, it’s just that CF workers are versatile to handle many use cases. You don’t have to lose the caching benefits. You can still pull your assets through Cloudflare CDN since workers operate at the request level (afaik).
In fact it can be even more performant. You can use Workers KV to cache as well. So a request comes in, check KV store, return if found. If not, pull from asset CDN.