Did you check the actual numbers on that? I was impressed with the speeds I was getting, and figured it must be because they were using a P2P mechanism, but when I looked at the download statistics (in the downloader, there's an option to show network information), and was very surprised that it was almost entirely directly downloaded. I don't remember the exact numbers, but it was something on the order of 1-2% of the total download.

That said, as someone else alluded to, maintaining that CDN with that bandwidth is probably crushingly expensive, and is something only Blizzard and a few others could pull off.