Cloudflare sets up a reverse proxy as part of their core offering, so by default they can MITM your proxy. The “orange cloud” by a DNS record means it points to their proxy instead of your server.
Even if the choice to enable it by default makes sense for Cloudflare’s userbase, the implications are hidden and non-obvious.
As sibling mentions it is indeed labeled and not just some icon. People just refer to the orange cloud UI for it for convenience and because it makes it easy to spot whether you have it on or not.
But regarding the icon, the icon is their company logo, it really is the primary feature. It's also not like you have to go find it in settings to turn it off after adding DNS record, it's part of the form when you add the record (default on, yes), and it's prominent when viewing the record.
The "reason" to use cloudflare is hype.
This thread does indicate the latter.