CORS is a browser security thing that all browsers have nowadays. depending on the HTTP headers returned from the server it can prevent JavaScript from loading the resource.
So from noStrudels perspective it made a request to https://www.nsa.gov/.well-known/nostr.json and got nothing back. not event the status code
If you disable CORS in your browser then noStrudel is able to make the request and see that the status code is 404
This is why I added a "Request Proxy" option in the privacy settings, it acts as a fallback if the request failed due to CORS

as far I know its only possible to disable CORS in chrome using the " --disable-web-security --user-data-dir=$(mktemp -d)" command line arguments