The connection to the DAC inside the CD player is done with three data wires, clock and L/R data being send separately. Hence it is quasi immune to jitter.
The connection to the external DAC, done via SPDIF, interleaves the digital data with the clock, requiring a process of separation at the DAC input. That process is an analog PLL loop that can introduce jitter and affect the audio quality, especially in the low-medium frequency part.
There are devices that can help with this, but in majority of cases, that makes the external DAC expensive and people tend to shop based on prices.
I, for example, have an iFi SPDIF iPurifier that does a good job.