There are varied opinions with regards to using CDN for media. But the general rule of thumb is to use CDN only if you have a massive number of images or media on your site. In that case, using CDN will certainly increase your site load speed, and as we know, loading speed is a ranking factor for SEO. However, if you do not have too many images in your site, setting up a CDN shouldn't be a priority of yours.
Even if you were to set up a CDN, you should take note of how to set it up properly on a self-hosted sub domain. Here's a guide that will be relevant to setting up a CDN: http://seo-hacker.com/implement-selfhosted-cdn-site-speed/
Hope that helps!