You need to enable DNSSEC at your domain registrar and domain DNS host. In your case I would suggest to do this via Cloudflare and your registrar. You are technically using Cloudflare for your DNS, not Enhance (though Enhance is pushing the records to the zones on Cloudflare).
That being said, while I have not tried it recently, in theory you can use the DNSSEC records Enhance gives you and then add them at your domain registrar as well. (I have not tested but would assume Enhance should push the records to your DNS zone on Cloudflare, but to check you may need to test or open a ticket) If you don't know how to monitor/check/test things like this though, you are best to learn first before blinding jumping in. DNSSEC is great, but you can cause big issues if you misconfigure it.