Geo-steering load balancer

We’d like to migrate from Azure Traffic Manager to Cloudflare geo-steeering load balancer.
Following the documentation we configured a load balancer with two pools (a European pool and a US pool).
We tested our final configuration and requests are forwarded to the right zone depending on the user’s region.
The load balancer will have to serve several apps from the same servers so we configured the necessary CNAME records pointing them to the load balancer domain.
In the final working configuration the load balancer and the CNAME records have both the proxy mode enabled.
At the beginning CNAME records were configured in DNS only mode and, just the load balancer was configured in proxy mode, but, with this configuration, we were having some issues with https certificates (invalid certificates).
The reason we configured them as DNS only was because we were thinking that putting the CNAME records in proxy mode would hide the original client region to the load balancer.

Is that correct or can we configure them in proxy mode as well?
Which configuration would you suggest for our case?

The load balancer has to serve the following apps and, all the specified domains, needs to use Cloudflare full encryption and CDN capabilities:

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