Check whether the gzip function of CDN is enabled.
By default, both gzip and etag are enabled for nginx, and etag is directly skipped.
Here is the source text:
The issue was discussed over several forum threads and trackers. It appeared that Nginx deliberately strips ETags once gzip is applied,The motivation behind was that ETag serves as a byte-accurate comparison, and since the result of gzip is not guaranteed to be identical under different configurations, ETag is no longer a strong validator and Nginx decided that it was simpler to remove it as opposed to converting it to a weak one.