DNS records live wherever your nameservers point. Editing them in the wrong place is a common waste of time.
IF YOUR NAMESERVERS POINT AT US
Your DNS is hosted here. Manage records in cPanel > Zone Editor. Changes here take effect.
IF THEY POINT AT CLOUDFLARE OR ANOTHER PROVIDER
Your DNS is hosted there. The cPanel Zone Editor still exists and still lets you edit records, but nothing you do there has any effect. This catches people out regularly, sometimes for hours.
IF THEY POINT AT YOUR REGISTRAR'S DEFAULT DNS
Records are managed at the registrar. Common when someone points an A record at a server instead of changing nameservers.
HOW TO CHECK WHICH APPLIES
Look up your domain's nameservers with any WHOIS or DNS lookup tool. Whatever they say is where your records live.
WHICH IS BETTER
Using our nameservers is simplest: cPanel manages the zone automatically and AutoSSL works without intervention.
Using Cloudflare adds a CDN, a firewall and attack mitigation, at the cost of managing records in a second place.
Either is fine. Knowing which you are using is what matters.