Looking through CF's own site, plus a few of their "case study" links, I don't see the domain rewriting happening on these scripts. And as you indicated, with additional complication of user cookies / HTTP vary, I'm not sure that's necessarily a good idea either -- if either of those in place, all of your cache optimizations go out the door. Best gotcha example: ads.
Seems like there is a bit of false advertising going on here.