The Domains section on the Settings page only effects the Third Party dashboard and is primarily for identifying which domains your main website uses to deliver assets from.

When using a CDN quite often your assets might get served from a different domain like "http://yourwebsite.netdna.com" but you still concider those assets to be part of your website rather than an external Third Party.

When you add a domain to the list it affects the percentage split on the Third Party dashboard between First and Third Party content.

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