Cloudflare hides records for security reasons. When you have the proxy setting (orange cloud icon) enabled for a DNS record, Zoho Desk will not be capable of validating the verification CNAME.

Disable the orange cloud, wait for a few minutes while Cloudflare's TTL for the record refreshes, and then verify the domain again. Once verified, you can re-enable the orange cloud for security reasons. (Protects against DDoS and DoS attacks by hiding your support portal's IP)

I hope this helps people who run into the "Verification failed" message on domain mapping that seems to plague us when we add the records as described.

Zoho Desk team: I'd appreciate it if you made an article from this post and linked to it on the domain verification page. That way Cloudflare users don't wind up having to deal with this issue, and in turn it cuts down on your support requests.