MX records is for email. If you don’t have email at that domain, then you don’t need to worry about this.
If there’s an ERR_NAME_NOT_RESOLVED message, then you don’t have DNS records for your website. Either an “A” or a “CNAME” record doesn’t exist for your example.com or www.example.com hostnames.
If you post your domain name, we can take a closer look.
It certainly looks like you don’t have many (if any) DNS records. Can you post a screenshot of your DNS page in the Cloudflare dashboard? Go ahead and black out any IP address that may be showing.