The CDN is what gives you content and stuff. If you go to the eShop and buy/download a game normally, that's making a request to the CDN to make it give you content.
But there's the stuff the switch sends first so the CDN (or according to the reddit post
@gameboy linked, something that comes before it) knows that "oh this thing is allowed to have content".
That's downloading from the CDN. That's fine!
But if we send the switch's stuff from another device, like our computer, and get the content that way, it's bad.
...yay writing smartass posts at 10:54 PM