CDN cannot proxy federation

I was using Cloudfalre with newly installed Soapbox BE and FE, I thought all my followers were silent all these time. then I found out, it is because I used CDN in front of Soapbox, and this causes federation stop to work.

The moment I unchecked CDN proxy to the domain, all is working well.

May I know is this is a bug, or just a feature that not yet being supported?

Many thanks.