Hi @James_Padolsey,
CNAME records are only valid for non-root domains, like foo.example.com. From the error you’ve pasted, it looks like you’re trying to configure a root domain like example.com, so you cannot use a CNAME record.
One thing to note for setting up Cloudflare is that Render must be able to verify the custom domain by checking that it has a DNS record pointing to Render. Because of that, you should first point the record to Render and get it verified before you point it to Cloudflare.