Hetzner is cheaper unless you are serving a sizable asset with R2. R2 costs per call. That cost is more than most web bundle size assets will be at Hetzner egress pricing.
Depends. Some CDN are more than worth it. Hetzner has weak DDoS protection for example. Some CDN have caches inside the ISP network. It doesn't even get out. There are also cases where the local ISP may not peer with you even if you are in the same region. OVH was famous for this in Asia. It's not enough to be in the same region.
And they aren't even comparable to normal object storage, since data is protected by a single raid cluster.