The DNS proxied means it will be shown a Cloudflare IP if you look it up. Thus all attacks at that domain will DDoS Cloudflare and not you host directly.
Non proxied means all traffic goes directly to your own IP without Cloudflare being a safety net in front.
The upside of proxied is that you will enjoy the Coudflare benefits but you can not make a direct connection to your IP, which means any custom ports wont work.
Non proxied has the advantage of being able to use custom ports to connect as it will connect to your IP directly.
Taken from here
For DNS records proxied to Cloudflare, Cloudflare’s IP addresses are returned in DNS queries instead of your original server IP address. This allows Cloudflare to optimize, cache, and protect all requests for your website.