While CDNs are good for performance, you dont need to necessarily enable them just to use SPFx
webparts.
Just modify the Config > write-manifests.json
and add your SharePoint location as below:
{
"$schema": "https://dev.office.com/json-schemas/spfx-build/write-manifests.schema.json",
"cdnBasePath": "https://tenantname.sharepoint.com/sites/test/SiteAssets/"
}
Upload your artefacts in the Site Assets or any other document library.
After that, run the gulp bundle --ship
and gulp package-solution --ship
and follow the instructions mentioned in the link that you shared and upload the app in app catalog.
Using this cdnBasePath
you can consume files directly from SharePoint library itself instead of enabling Office 365 CDN or using Azure or another CDN provider.