If DNSSEC is part of your security model, you want local validation. Not relying on third party resolver that you don't have a contract with.
Beyond that, DNS has the AD bit. If you need DNSSEC secure data (for example for the TLSA record), then when Cloudflare turns off DNSSEC validation, the AD bit will be clear and things will stop working.
Am I the only one who thinks that the AD bit is about as useful as the RFC 3514 evil bit?
We have this elaborate, complex, and extremely fragile cryptographic system behind DNSSEC and we distill it down to one single bit that we carry over unauthenticated links. Why?
At least WebPKI answers the right question: should I trust a particular claim to represent host.domain at the time in the following range? (Of course it defers determining the current time to some unspecified other mechanism.) DNSSEC tries to do everything and cannot survive an upstream error even within the downstream validity window. And yet, despite the fact that most of the spec leans heavily toward failing secure, the actual communication of validation status is entirely unprotected.