Cloudflare should really message if this is the case when using their gateway. Small UI changes to note this would likely go a long way toward coercing better overall security.
When I use Cloudflare as a proxy, I also configure authenticated origin pulls[1] for better endpoint hardening. This makes it a bit more difficult to find a way to bypass the CF proxy, since hunting around on shodan etc. to find the server in the IPv4 space echoing the same content will not work.
[1] https://blog.cloudflare.com/protecting-the-origin-with-tls-a...