The default setup uses 2 second level sub-domains and 1 sub-domain. If you are using the free version of Cloudflare and want to proxy the links then this will not work. There are 2 options you have if you want to continue using the free version of Cloudflare.
Option 1:
Don’t use the proxy DNS with Cloudflare. This will expose your IP address through your website.
Options 2:
You can reconfigure Guacamole to use 2 sub-domains and remove the extra level, and you will be able to proxy this with Cloudflare.