Just to be sure, there are few more solutions and steps how to setup the WP Rocket while using Cloudflare. Kindly, re-check the settings you have and apply as follows in below articles if needed:
To apply the changes, there is some time frame like max. of few minutes to apply the changes regarding Cloudflare Firewall.
May I ask do you have some Firewall events logged?
From which IP address, or better to ask, is that the hosting IP address or the end-user/visitor showing up?
Do you have any other security options being enabled at Cloudflare dashboard or some other Firewall rules which could potentially block the requess?
Furthermore, maybe you need to allow Cloudflare IP addresses to connect to your origin host/server, or ask your hosting provider to check if Cloudflare is allowed.
To do so, kindly follow the steps from the article below:
The Cloudflare IP address list can be found on the below link:
Nevertheless, maybe you need to configure the true IP as a return IP from the visitor?
If so, kindly see the below article: