If you are referring to zones configured as Partial CNAME Setup, then yes only CNAMEs (or CNAME Flattened records) to Cloudflare at the authoritative nameserver will work, you cannot create A records to Cloudflare without a Static IP which is available only to Enterprise customers.
However I will note also to preempt anyone else suggesting it, you can technically determine the currently assigned Cloudflare IP address and use an A record for that, however it is an unsupported use-case and may break in future.
If you can create a system to automatically update the A record if the upstream CNAME target changes IP, that may work better (but also is unsupported)
Note that is only for zones created as Partial/CNAME Setup, as zeg noted you will lose no features if you upgrade a Full setup zone using Cloudflare nameservers
I have a Dynamic mail Server on a Server and I route it with CF proxy over a subdomain like gateway-vie-21.<domain> and then create a MX record which also routes the Mail Server to gateway-vie-21.<domain> but without proxy this isnt possible right?