I have few A records. Example RDP and VPN. If proxy is turned on both of those services it fails to connect. If i change the records to dns only it works fine. What would be the issue?
Update logging into mimecast with ad credentials would not work until i set the records to dns only. Please advise.
Probably yes, although a lot of Exchange goes over HTTPS and might pass through Cloudflare (or it might not, Exchange uses HTTPS is unusual, but not incorrect ways and therefore is prone to finding weird limits).
But the safest bet, unless you are very sure what you are doing, would be to bypass Cloudflare for Exchange.