1. You need CDNs for reasonable web performance, especially on mobile. Hitting your dedicated server for every static asset like images is going to bring latency through the roof.
2. Many companies don't have a physical presence in Europe, but are still able to achieve adequate performance because of CDNs.
3. If everyone just moves off of cloudflare, the blocking would just increase. Nothing would be solved if even bigger ranges are blocked, and probably even more stuff would break.