Well depending on your set up, it obviously is not intended to go through all minification, combination, embedding, localization etc.
Because of various unique combinations in the URL such as the version timestamps that ResourceLoader includes in requests to load.php, these requests are highly cachaeble!
Because of the wide range of scenarios that MediaWiki has to support to be able to scale to a platform like Wikipedia, it needs access to the filesystem and the database. (Consider localization into over 300 languages including right-to-left and non-latin languages, support for user-preferences that allow users to change the skin on a per-user base (and thus changing the modules to be loaded), gadgets (enabling custom scripts), scripts from extensions loaded only under certain conditions)
The way Wikipedia has this set up is by using a reverse-proxy like Squid or Varnish that serve a static cache of all resources and, because of the timestamps, it can cache these requests "for ever". Whenever a module has changes (which won't happen for an average MediaWiki install unless you upgrade MediaWiki, change configuration files or install/uninstall extensions), it will use the new timestamp in the request for that module, thus changing the url to load.php. Then the bits-server will only initiate MediaWiki if there is no static cache for the url.
According to the stats as of August 2011, bits.wikimedia.org/../load.php has a cache hit ratio of 98.2%. For all those requests MediaWiki was not initialized, no database connection etc.
However a simple static-file-server CDN does not suffice. It's not impossible to use a static-file-server CDN, but no implementation for that was made as Wikipedia uses Varnish as a reverse-proxy for cache. You could contact User:Catrope if you're interested in building in support for a static-file-server CDN (e.g. somehow upload static files through FTP or something to that CDN when new ones need to be generated and embed or 301-redirect to those urls directly.