Setting Up Cloudflare with WP Rocket Plugin

Dear all,
I am trying to figure out, how to set up Cloudflare using WP Rocket, great WordPress speed optimization plugin. ( I purchased the pro plan )
I followed all the instructions, then, was asked to enter a Cname. Is this Cname mandatory to make things works?
One of the very first steps to activate Cloudfare was to change my hosting nameserver by the one given by Cloudflare. I did, and after a few hours it was indicated as active while not working. ( WebPageTest indicates there is not ressourced served from a CDN ). Also, DNSSEC has been automatically deactivated after the nameserver changes.
Best;

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