It would be terribly redundant if every single Document page had to include the caveat that you have to Proxy traffic through Cloudflare for these features to work. People usually figure it out pretty fast, though.
Well there is no logical reason why those rules should only work with Cloudflare proxy switched on. Therefore a pointer in the docu is neccesary otherwise people just waste hours on a simple unrelated setting of their rules. It might be trivial for WAN network techies who work with 100s of rules but for sysops that only manage a few DNS records its not self-evident.