Requesting a FIX for a problem that few people reported and being ignored from a while.
The fact is that Nginx totally ignores some headers and there is not reason why.
Here is the header list placed on site.com.conf:
location ~ [^/]\.php(/|$)
{
set $cors '';
set $cors 'true';
add_header 'Access-Control-Allow-Origin' '*';
add_header 'Access-Control-Allow-Credentials' 'true';
add_header 'Access-Control-Allow-Methods' 'GET, POST, OPTIONS';
add_header 'Access-Control-Allow-Headers' 'DNT,X-CustomHeader,Keep-Alive,User-Agent,X-Requested-With,If-Modified-Since,Cache-Control,Content-Type';
add_header 'Access-Control-Max-Age' 1728000;
....
Here you can see that headers are being loaded but ignored:

After making some tests I can confirm there is no way to set CORS and manage static content from a subdomain/CDN
Documentation:
https://gist.github.com/agouriou/735daacf7530675552ff248f319a07d9
https://gist.github.com/Stanback/7145487
https://enable-cors.org/server_nginx.html
Please, may someone help to all people touched by this BUG?
Thank you very much.