The wind blows wherever it pleases. You hear its sound, but you cannot tell where it comes from or where it is going.
CloudFront is a content delivery network (CDN). A CDN is a global cache that stores copies of your data on edge caches, which are positioned as close to your customers as possible. It has three main benefits: lower latency, higher transfer speeds, and reduced load on the content server.
A Direct Connect (DX) is a physical connection between your network and AWS either directly via a cross-connect and customer router at a DX location or via a DX partner.