CloudFlare proxies your web traffic, hiding your server IP, which reduces the chance of direct attacks. Putting up a firewall that prevents anyone other than CloudFlare and for example your corporate or home IP address accessing the server significantly increases security. CloudFlare IPs are here, I've added all of them as an ALLOW rule on my firewall for http/s, with most others blocked.
The warning is simply pointing out that by publishing MX records you're telling people your server IP address, negating the benefit of hiding your IP using CloudFlare. If you have email hosted on your server you need your public IP address known and to leave port 25 open to the world. If security is important to you I suggest you use a hosted email service - Google Apps, Office 365, Zoho, Fastmail, etc.
If you go ahead despite the warning your MX record should be created successfully. I've done this many times on CloudFlare with no problems.