You can disable the captcha-feature, as far as I knowCloudflare displays a cloudflare-branded error page when anything goes wrong. That happens quite often, and as far as I know you can not turn that off. Oftentimes Cloudflare claims the "the backend is down" when the backend is, in fact, serving fine (which I've verified on more than one occasion).
Furthermore Cloudflare significantly degraded both latency and availability outside the US when we tested them, versus using the US origin. We've seen their error-page and 'connection refused' errors spike into the 10% range multiple times a day. Latency variance was pretty wild, with europe spiking into the 500ms(!) range.
The only other CDN I've seen similarly atrocious performance from was MaxCDN.
If you're looking for a CDN to speed your site up (duh!) then I'd recommend to go with one of the more established players. Cedexis provides a nice report that tells you which CDNs perform best in your market; http://www.cedexis.com/country-reports
(I'm not affiliated with them, take their figures with a grain of salt, do your own testing on an evaluation account!)