Are you using CNAME or A type of the DNS records pointed to the Shopify?
May I ask if you’ve followed the instructions from article below to enable Shopify for your domain at Cloudflare?
Helpful:
O2O will work automatically on proxied CNAMEs anyway so doesn’t need to be enabled by Cloudflare manually. Just ensure you are using your provider’s CNAME and not A/AAAA records.
It has to be either one (CNAME) or another (A), cannot be both variations.
Sometimes it works perfectly fine even with (DNS-only) since Shopify uses Cloudflare, therefrom no need for proxy .
The Variation is for the recommended Shopify setup having the www record be a cname to shops.shopify.com and the @ record being an A record.
I still get the error: