That's because it's a loss leader to get you into their system
It’s free, but there are times when it’s more convenient to point to someone else’s nameservers, and some people like to keep their DNS separate from their registrations as a “separation of powers” thing, but I’ve never seen the utility in that.
You cannot do this on Cloudflare without purchasing an Enterprise offering with SaaS features.
It's a very basic thing, allow CNAME to your subdomains... but nope.
So if you want to do this, you cannot use their DNS or Registrar.