What's wrong with using cloudflared?

I read a comment on here some time ago where the person said they were using cloudflared to expose some of their self-hosted stuff to the Internet so they can access it remotely.

I am currently using it to expose my RSS feed reader, and it works out fine. I also like the simplicity of Cloudflare's other offerings.

Any thoughts on why cloudflared is not a good idea? What alternatives would you suggest? How easy/difficult are they to setup?