The cache-control header should be set at your origin. You should ask how to properly set your website headers in forums like stackoverflow.com or wordpress.org/support/ etc, depending on the type of site configuration you have.
The cf-cache-status: DYNAMIC header will appear on any HTML page that is not set to be cached. By default, Cloudflare does not cache HTML, so unless you have a page rule with a “cache everything” setting, your HTML pages should already have this header.