I have been able to configure the CDN using this document:
Basically you have to:
1.- Menu: Performance \ General Settings \ CDN –> Activate the CDN in the W3 Total Cache:
2.- In AWS go to : https://console.aws.amazon.com/iam/home#/security_credentials$access_key
Create an “Access key”:
3.- Menu: Performance \ CDN —> enter the credentials, and then “Create Distribution”. If there is no error, then “Save settings & purge cache”.
Note: the recommendation is the creation of a policy. I still need some time to do this.
I have improved the grade under GTmetrix rules, from “D” to “A” from Vancouver.