Hello!
Great question. The CDN indeed fetches a copy of the media and stores it locally in memory and in a cache file structured folder.
I would say that its not the most ideal scenario to just delete the source because depending on the age of the media, browser caching and as well CDN caching settings based on the media file type, it may still need to refresh the media or check if it has changed for future requests.
The idea of the CDN (and CDNs in general) is to offload the number of requests and network latency, not remove the source outright.
You should still have the source image available in this case for ours and most other CDNs.
Thanks!