There don't seem to be any SEO issues I can think of, so I'm wondering if there are any other issues that someone should be aware of when choosing a domain name for a CDN. Does the TLD matter? Are there certain things that will get a domain flagged by a browser? Is shorter better for latency?
For a CDN, latency is king.
The length of the domain label or the TLD you choose will not matter, because TLDs are supported by the low-latency network of DNS root servers.
What will matter, though, are the authoritative DNS servers for your domain. Slow responding authoritative servers will increase latency initially, when the DNS records for the CDN domain are first retrieved (then they get cached for a while as dictated by your DNS TTL). I recommend using an Anycast DNS service for your CDN domain to reduce the time spent with the initial lookup. Such services typically offer a geographically distributed network of authoritative DNS servers and clients looking up your DNS data will get a response from the "nearest" authoritative DNS server available (from a routing perspective), ensuring a low-latency access.