I do not believe so. To explain, first let's distinguish between Azure CDN (Content Delivery Network) and Azure Storage.
Azure Storage is a means of storing files in an Azure repository. When someone requests an image through the GetMedia, Kentico needs to grab the image from the Azure repository in order to modify it. In order to reduce the amount of calls, data transfer, and overall cost it caches the file locally so on later calls it can pull it up, until the cache expires or the file is updated.
Azure CDN works more at determining WHERE it pulls the storage from. It replicates your files across many nodes around the world, so if someone in China requests a file, it can pull the file from from the Azure servers closest to china.
When you use GetMedia, Kentico tries to processes the image first, you may utilize tags like "width" and "height" which mean the server has to download the file, make adjustments, and serve it up to the client. So wherever you site is, that is where the file ultimately comes from, but it pulls locally.
So if your site is in a single spot (Say a dedicated server), this won't give you much performance increase, however if your site is also in Azure and is replicated to different regions, then it will provide a faster service to a degree.
This is why in documentation it states:
Azure CDN can speed up delivery of static content, such as images or stylesheets, as well as streaming media
Static content means you are linking directly to it's path, so the user is getting the content from Azure CDN, not from your website which gets it from the CDN.
Hopefully this helps you understand, i would take the resources you want to be delivered statically and link to them normally (not through the GetMedia).