Cloudflare - CDN CNAME
Cloudflare is not a typical CDN but is actually a reverse proxy, all of your content will still load from your regular domain, yoursite.com.
With Cloudflare there is no specific CDN CNAME to serve the static assets of your website.
Therefore, you do not need to activate the Enable Content Delivery Network option in WP Rocket nor specify a CDN CNAME. If you are using Cloudflare, your CDN tab in WP Rocket should look like this: