There is no setting to move the images to CDN yet although it is in discussion to start providing out of the box support for some popular CDNs.
Since Sitefinity 4.4 we have supported windows Azure blob storage where the images can be uploaded, but there is no support for Amazon. In case this can be useful to you to create a new storage provider for Azure go to Administration->Settings->Storage Providers and there you will see database and file system already existing with an option to add new storage provider for Azure. This is the first cloud storage provider we have added to Sitefinity, for the next release in mid February a new storage provider will not be introduced. Excuse us for the inconvenience.
It may help in your situation that we have a blog post detailing how to connecting to amazon S3 providers. It's open source and the GitHub link is in the blog post.
Otherwise Sitefinity 6 will include additional cloud support but not for CDN like you may desire, however, it is on the list for a latter but undefined release.
I hope this helps and I apologize for any inconvenience this may cause.
All the best,
the Telerik team
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