Yeah it's... DEFINITELY a thing you should know, and definitely a thing they don't want you to know, because they want you to not even know they're there!

At least with normal trackers that embed JS on the page, like Google, which can also snoop on basically everything you do by the way, if you block the tracker you're relatively safe (until they change the tracker, until you get an updated filter list... it's a constant back and forth).

You can't block Cloudflare MITMing you. ("man-in-the-middle", they pretend to be the server and pass on everything you say to the server and the server's response to you, while probably writing down everything for their own purposes. this is a large part of what HTTPS was explicitly intended to protect against...)