The documentation is not quite correct. At the moment you need to contact Cloudflare Support to ask to enable O2O for Shopify for your account. Once enabled, you will be able to proxy the CNAME that points to shops.myshopify.com and then settings in your Cloudflare account can be applied before the request goes to Shopify.
For any DNS records, including the apex, that use Shopify IP addresses for A/AAAA records, use the proxied CNAME instead, or redirect to a subdomain that uses a CNAME.
Any plan can now use O2O with Shopify (which is what is needed for you to be able to proxy Shopify CNAMEs in order that redirects in your Cloudflare account will work).