If your DS920+ is completely inaccessible to outside your network except for the Cloudflare tunnel, then the Synology firewall and IP blocklist aren’t going to do squat for you since all connections will appear to originate from either inside your network or from Cloudflare. So you’re 100% dependent on Cloudflare to keep bad actors out.
I’m not familiar with Cloudflare but the impression I had from looking at it was that you can decide which authenticated Cloudflare users can access your tunnel. So it’s a matter of credential management. Supposing some bad actor gets your credentials, they would then be able to access the entirety of your NAS, and you’re now hoping that there isn’t some undiscovered or unpatched security hole that they can use.
I’ve run more than that in a small closet with poor ventilation. Only got up to around 85 F or so. Unless your room is super duper sealed, you probably don’t need to do anything special.