Wordpress doesn't send mail to cpanel after cloudflare setup

I didn’t change anything with CloudFlare. Just the default headache free install which I really liked. On DNS tab I only see one CNAME and one A record that has my domain name next to it proxied. Rest are all gray clouds.

All emails are fine except in one occasion which is wordpress sending email to cpanel. Lets say you have Sucuri plugin and it is supposed to send a mail to [email protected]. It doesn’t. If I change it to a gmail or anything it does send. If I change it to [email protected] it again doesn’t. So basically not working with webmail.

I checked the dates I last received a mail from my wordpress, it corresponds to the day and hour I started using the CDN. So it has most likely got something to do with my DNS records.

Do you have any ideas? Could I just make it all gray clouds and still get benefit from CDN?