Adding Cloudflare in front of Siteground

I am trying to add cloudflare in front of my woocommerce site, which is hosted on Siteground. The domain registrar is GoDaddy, but the name servers are directed at Siteground currently.

In the cloudflare UI I went ahead and scanned my website so that it would import all of my DNS records. When reviewing it, it appears to have grabbed mostly everything, but I noticed it is complaining about a certificate not being present, but my site has a certificate from Let's Encrypt provided by siteground that covers my domain along with any subdomain:

https://preview.redd.it/wteitces1nkd1.png?width=303&format=png&auto=webp&s=8491eb0c10a59843efb55bc91908ae40028395b1

https://preview.redd.it/c27a8eej1nkd1.png?width=1430&format=png&auto=webp&s=67094139fd028000ca69924bf5237b569404524d

I just want to make sure that before I switch the name servers from siteground -> cloudflare, I am not missing anything. I am not a DNS expert so any help is much appreciated. Also, I am not sure it matters.. but I have Sitegrounds CDN enabled on my site currently. Im guessing I should go ahead and disable that (not sure it matters) since Cloudflare will be taking care of that.

I'm also seeing the below warning and I want to make sure I address that. I read through this blog (https://developers.cloudflare.com/dns/manage-dns-records/reference/proxied-dns-records/), but am a bit confused as to what cloudflare is wanting me to do.

Some of your DNS-only records are exposing IP addresses that are proxied through Cloudflare. Make sure to proxy all A, AAAA, and CNAME records pointing to proxied records to ensure your origin server is fully protected.

 

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