Premodify URLs on WPEngine to directly point to your CDN. Avoids issues some link generators have with HTTP redirects.

wpengine-cdnurl.php

<?php
function wpe_noRedirectUrl($srcURL)
{
    if (class_exists('WpeCommon')) {
        global $wpe_netdna_domains;
        static $cdn_domain;

        if (!isset($cdn_domain)) {
            $wpe_common = new WpeCommon();
            if ($wpe_common->is_cdn_enabled()) {
                $cdn_domain = $wpe_common->get_cdn_domain($wpe_netdna_domains, get_bloginfo('url'));
            }
        }

        if ($cdn_domain) {
            $srcURL = preg_replace('/' . preg_quote(get_bloginfo('url'), '/') . '/', (is_ssl() ? 'https://' : 'http://') . $cdn_domain, $srcURL);
        }
    }

    return $srcURL;
}