When you don’t use a VPN, at least your traffic to Cloudflare doesn’t carry a unique ID of yours. Effort is required to correlate your traffic, especially if you are CGNAT’ed and share an IP with others, or have a dynamic IP that changes frequently.
Its not, that's the point.
It’s not for one party. The VPN protects your traffic from any party other than Cloudflare. Exactly as it would with any VPN.