Custom domain with Proxy = "The page isn’t redirecting properly"

When using "Set up custom domain" it automatically creates a record in Cloudflare DNS, and it enables Cloudflare Proxy on that record.
This seems like a good idea, and is an expected result.

But it doesn't work. It leads to "The page isn’t redirecting properly". And I really don't understand why.
But disabling Proxy makes it work.

Is there any reason why Proxy shouldn't be enabled for Pages sites? I assume it should work since it enables it by default.
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