This feature will break dns-based geo-lookup, so as a user I might get directed to services that are 130ms away from me instead of 1-5ms. For any client application, this will likely have strong negative effects on user experience.
It seems like you are right. On the company's pages I find "... Instead of doing this, Cloudflare will make the request from one of their own IP addresses near the user. This provides geolocation without tying it to a particular user. ".
Still, my concern is that this is no longer a function of the technology, but by a service that is maintained by one company, limited to the coverage that they provide in different parts of the world.