Cloudflare does not allow to use proxy on MX records - only "DNS only" is allowed. Enhance UI allows it. After enabling proxy in Enhance there is an critical error/failure in sync process. Also website is down. error.png
Same with mail.domain.com. You can proxy it for the webmail (port 80 and 443), but anyone connecting over ports 587, 465, 993 and 995 will not be proxied, so it won't work.
You are right - it won't work. That is why I have it set as "DNS only" on my screen as well. I believe that this is limit on Cloudflare part though:
(…) If you do not have Spectrum enabled, then no email traffic (SMTP) will actually pass through Cloudflare, and we will simply resolve the DNS. This also means that any DNS record used to send email traffic must be DNS-only to bypass the Cloudflare network. (…)
Source: https://developers.cloudflare.com/dns/troubleshooting/email-issues/#is-cloudflare-spectrum-enabled-on-your-account
