Subdomains that have been CloudFlare-enabled are marked with an orange cloud. Subdomains that are not CloudFlare-enabled are marked with a grey cloud.

The CloudFlare network can only proxy web traffic over ports 80 and 443. The following subdomains should be marked with a gray cloud to prevent performance issues:

cpanel
direct
ftp
ghs.google.com
mail and webmail
mysql
nameservers (NS1, NS2)
secure* (unless you enable CloudFlare SSL)

View the full list of subdomains that should not be enabled with CloudFlare here:
What does the orange / grey cloud mean in my CloudFlare dashboard? Which domains should have a grey cloud?