If you enable HSTS, and don’t have SSL on your server, then visitors won’t be able to return to your site if you go off of Cloudflare and lose SSL. HSTS tells browsers to always use SSL when visiting your site, and if you don’t have SSL at some point, browsers won’t let users return to the site without SSL. And if you use HSTS preload, then you’re really stuck, as all browsers will refuse to connect to your site without SSL.
If your server can include SSL for your domain, you really need to do this for a fully secure connection that will remain if you disconnect from Cloudflare.