It's true that this is a problem if you insist on serving your CDN assets a custom domain CNAME mapped to CloudFront (i.e. https://assets.mydomain.com/). It doesn't cost extra if you just use the default CloudFront distribution URL, i.e. https://d3vam04na8c92l.cloudfront.net/stylesheets/applicatio...
This is not entirely clear from the Heroku docs, I'll ping the maintainer for an update.