DNS Proxy for multi-level CNAME

I'm looking into using the Cloudflare WAF in front of a web application where my DNS is already hosted authoritatively as part of an account on the free tier in Cloudflare. I can't figure out from the documentation if what I'm trying to do is supported.

There are two scenarios (based on DNS records):
  1. staff.env.mydomain.com
    (CNAME) ->
    resourceName.mydomain.com
    (A)
  2. staff.prod.externaldomain.com
    (CNAME - not in Cloudflare) ->
    prod.mydomain.com
    (CNAME) ->
    resourceName.mydomain.com
In testing scenario #1, I enable "Proxied" feature on the
resourceName.mydomain.com
(A) record, however I don't see traffic in Cloudflare Analytics, and my test IP block rule doesn't fire.
Is this is a supported configuration?

If I set
staff.env.mydomain.com
(CNAME) to "Proxied" directly, then I get a warning about "Advanced Certificate Manager being necessary, which I haven't got to testing yet; and this wouldn't be possible in my scenario #2 where the actual hostname is external to me as it is.

My hope was to enable Proxied on my resource A record and get at least some of the features of the WAF working.
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