A couple of things. 1) this is not unique to GoDaddy but with most managed solutions.

2) I would actually not recommend using Cloudflare with Managed WordPress as
A) GoDaddy has a CDN
B) as GoDaddy has caching you or double caching and that can lead to issues

If you have to use Cloudflare just make sure you use the bypass option

Also you should use an A record and point it to the ip and add the dev domain in the managed Wordpress admin
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