CDN's & Canonical Links

My client has a website which uses an off-site CDN (azure) which I don't really have any experience with. I've tried Googling and reading loads of SEO blogs but I can't really find the answer.

On their website they have rel canonical links pointing to an off-site CDN like this:

on the services page: <link rel="canonical" href=" link to azure website ">

Is this correct? I was thinking it should actually reference itself e.g. <link rel="canonical" href=" self-canonical website page link "> and that the CDN should be set to noindex? (Currently it's indexed)

Thanks very much for your help

Edit: I had to change URLs in order to post, but you get the idea