Right, but that's not the same thing and is intrinsic to how CF works - routing DNS requests from different areas to different IPs. Is there any good reason not to just let them serve your DNS if they're serving your website?
They don't accept delegated subdomains, at least not for .net and .com domains (I haven't tried others).
I don't see how it's "intrinsic to how CF works" that they need to host your DNS records, especially when they don't require it on more expensive plans.
That being said, I don't mind them hosting my DNS records, but it would have been nice if they supported importing zone files from Azure DNS.
(will they accept a delegated subdomain?)