Is this something I do in CPanel at my host?

A few more steps are required to complete your setup.

Some of your DNS only records are exposing IPs that are proxied through Cloudflare. Make sure to proxy all A, AAAA, and CNAME records pointing to proxied records to avoid exposing your origin IP

The record that is flagged inside cloudflare is the MX record for the domain (email?)

That warning is normal for domains that host email on the same server as a website. Email needs to expose the IP address of the server, while Cloudflare is hiding that same IP address for your website.

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