I started my 20 year career in the hosting and ISP business. I believe you are asking if there are negative consequences to adding a CDN like cloudflare to your domain. I would say there are only benefits. These days, the performance of your website is a ranking factor. Having the site responsive to requests regardless of where in the world they come from, can only be a benefit. My experience of Squarespace is that it hasn’t kept up with the innovations in CDN and the great things that Cloudflare have been doing. If you want to chat further, let me know!