Cloudflare caches only static resources by default. Are you sure that the wordpress cache for typical html is returned as a "static" resource (with last modification date and time of possible expiration)?
If so, and you don't have problems with the site's performance, because very rarely is the content modified, then caching on Cloudflare's side will certainly speed up its loading, because Cloudflare won't be querying your wordpress for a while at all.
When you don't cache the response on the CF side, it may take, for example, 100 ms for your local cache to be returned by your server, and there may be another 100 ms going through Cloudflare, which may give a response time of more than 200 ms. When it is returned cache directly from Cloudflare the total response time can be under 100 ms.