But the part I don't get is Why? Why should I proxy the third parties through Cloudflare to obtain multiplexing? They already are "multiplexed" by virtue of being on a separate domain. I already have great parallelism for those resources.
You can think of domain sharding as a workaround for the fact that HTTP does not allow true multiplexing. With SPDY, we can avoid that complexity and reuse the same connection.