Basically they add yet another layer of centralization and they're a MITM for all your traffic, so they're an easy target for surveillance. If only they weren't so convenient... I use their DNS service because it's top notch, but I also tend to enable their MITM service because their CDN nodes are super fast and require just a single toggle to enable. They read my far-future expires headers and just cache the content on the edge, no extra work needed.