Mysterious CloudFront "Bad request"

You made my day. The moment I added www.domain in the CloudFront Distributions, iI recognizes the web.

I also tried with one subdomain to test and added CloudFront URL in CNAME in GoDaddy and subdomain entered in CloudFront Distributions and it also works.

I added the snapshot of CloudFront for amateurs like me.

All good! I answered my question as I was writing it.

It was that field regarding Alternate Domain Names (CNAMEs) in the distribution's settings. When I added www.mpe.io as one of them and gave it some time, it ended up working fine.