@andy so the issue was indeed the DNS records that were grey-clouded. My domain is back on Cloudfare and now it seamlessly redirects with the message page from blogger…
Hovering on the clouds icon I see they are used to turn on (or off) HTTP proxy (CDN). It been turned on when the cloud is orange.
I am guessing introducing this proxy, this man in the middle, is what triggers blogger to scream with that message on redirect (Would appreciate if someone more knowledgeable than me will confirm/refute this).
So, I have now turned off the proxy and my redirects works seamlessly. But I think the repercussion of this, is that “https” no longer works which kinda defeats the purpose of why I wanted to host the domain on Cloudfare
Now I am not sure if this is a definitive situation: but it seems that I cannot have HTTPS for custom domain on blogger via Cloudfare (well unless I want to leave with the scary, annoying redirect message that blogger screams at visitors)