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You're right that this is only a problem when you're already compromised. The real problem is that cloudflare makes it difficult for networks to detect when that happens.

If a device on your network suddenly runs "a script that just loads some remote HTTP address for evil things to do next" that connection attempt to some strange remote HTTP address is a great indicator that you've got a compromised system somewhere. When all traffic, good and evil, flows to/from cloudflare it's harder to spot the evil.