Add an A, AAAA, or CNAME record for your root domain so that example.com will resolve. - does anyone know what this message means and what it does?
When adding a Domain/ZONE to CloudFlare you can (and should) add IPs to the domain and its wished subdomains so the Domain and its subdomains does resolve to them.
Here is the Documentation of the DNS-Section of Cloudflare. May you want to have a read:
If your ‘www’ already resolves, this is a nice finishing step: