Zero Trust - DNS - Siteground


I’m trying to setup Zero Trust Access for my login pages.
I followed some guides but without result.
Everything seems configured ok.
But when I go to my site nothing happens.

Then my eye fell on the details beneath “self hosting” something about DNS settings.
In my case I got Cloudflare through Siteground.
And in that way siteground manages the DNS settings.
Could this be the problem?
If so what is the best option here?

If it’s not DNS, what should I try to make this work.