A video loads faster when it does not have to cross the whole internet.
A CDN stores cached copies of files on servers nearer to users, which can cut the round trip to the content.
If the video comes from 1 nearby edge location instead of a distant origin server, buffering can fall because latency is lower.
The cost is extra copies: the same file may sit in many places, adding storage and cache-management work.
The speed is not magic. It is geography turned into infrastructure.