With regards to a CDN there should be no issues with Event Espresso, however, there’s the possibility that another script on the site (like from the theme or another plugin) might not work as expected if served from a CDN, which could affect any page on the site.
Are you able to test the CDN feature on staging first?
With regards to WP Rocket, you’ll need to exclude EE’s srticial pages from any caching:
The support post ‘Implementing CDN’ is closed to new replies.
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Support forum for Event Espresso 3 and Event Espresso 4.