CDN's do make a difference , if you are on a shared hosting you wont see the load difference it is making (it is still working though) , but if you are on a vps or a dedicated server with access to server load and memory utilization you will see the difference a CDN makes .
Also like others have said , if you are site is small (as in low traffic) , their is not much load on your site to begin with . Being on shared hosting and using a CND gives you the benefit of hosting multiple sites on the same shared hosting account , as overall the load is now being shared by the CDN provider and your hosting provider.