If your system (or the resolver, e.g. your ISP’s DNS resolver) has cached the sub-domain from the time when the sub-domain didn’t exist, it can take a little while.
When you set a CNAME to Proxied, it is published as A and AAAA records with Cloudflare proxy IPs. If you need a CNAME to be published, you will need to switch → DNS Only, at least until the external site concludes its verification process. Depending on the requirements of the third-party platform, you may be able to reactivate the Proxy after your verification completes.