Does RocketCDN affect the SEO of my website?

No, using RocketCDN won't affect the SEO of your website. RocketCDN is 100% SEO friendly and it can only benefit to your SEO.

Using CDN CNAME that is different from your domain will not affect your SEO because RocketCDN uses canonical headers.

A canonical tag (rel=“canonical”) is a snippet of HTML code that defines the main version for duplicate, near-duplicate and similar pages. 

If your header’ site contains this meta: <link rel="canonical" href="https://www.yourdomain.com/" />, the crawlers will rely on it for ranking and prevent duplicate content.

In other words, if you have the same or similar content available under different URLs, you can use canonical tags to specify which version is the main one and thus, should be indexed.

Once the search engine indexes your site it will know that files from the RocketCDN are duplicates and that originals are on your domain.