Hello, Frank!
The plugin handles media on your local website.
The Cloudflare integration should be done either via the official Cloudflare plugin, or your caching plugin. For other CDNs, this should almost exclusively be done via a caching plugin.
But you only need to worry about this if you frequently replace images (with the same filename and location on the server) and you don’t have any plugins to handle the CDN/Cloudflare integration.
Also, Autoremove Attachments only removes your images if they are attached as children to a parent post, page, or custom post type, AND if they are not re-used in another location. In other words, only media files that are not used anywhere are deleted. So even if old images are cached at the edge, they are not referenced anywhere on your website. This means the plugin should not cause any problems even when you don’t have proper CDN/Cloudflare integration.