Do Email DNS records have to be in Cloudfare?

So cloudflare is now in charge of your DNS? Not sure what “linked it to their DNS zone” means, but I think you mean that your DNS records are now at cloudflare. You can check at Free Whois Lookup - Whois IP Search & Whois Domain Lookup | Whois.com and if the Name servers are cloudflare, then your DNS is at cloudflare.

If cloudflare is where your DNS records are, you need to have all DNS records there. It is pretty good at copying all of your records if/when you change to having it be your DNS service. If Breve needs any DNS records set, you need to see that they are set wherever your DNS is.