If you use DNS with proxy it still applies, you should get a Cloudflare certificate then. But yes, if you use Cloudflare as DNS only, then it should be direct. I believe you get none of the protection or benefits doing this, you’re just using them as a name server.
The Cloudflare benefits of bot detection, image caching, and other features all rely on the proxy setting.
Also if proxying is enabled, your server IP is hidden which helps stop people knowing how to attack your server (e.g. they won’t have an IP address to attempt to SSH into it). You don’t get this protection in DNS only mode either.
Basically if you’re using DNS only, it’s no different to using the name server from your domain registrar as far as I can tell.