DNS on CloudFlare Hosting on Godaddy

My Domain name is on Cloudflare but my website is hosted on Godaddy using IIS 8. My current issue is that I need my SSL certificates to be installed on Godaddy. When I do this I have no connection to my domain on Cloudflare.
Is there security issue or firewall I need to be aware of? Or simple question why can’t I use an SSL certificate on godaddy to access my domain on Cloudflare, I get the following error messages.
Error Message: Your connection to this site is not secure

This site can’t be reached

If you get that error message when Cloudflare is :orange: Proxying your site, then you don’t have an Edge Certificate for your domain.

So my Godaddy SSL is a DV do I need to install an Edge Certificate on Cloudflare? I’m not familiar with an Edge Certificate and it’s odd to have 2 SSL’s in 2 different places. Or have I completely got this wrong?

You need both: One for each link in the chain:

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