[MWAN] Added note about cloudflared (#21458)

* added warning note

* refined text

Author: marciocloudflare

src/content/docs/magic-wan/configuration/connector/network-options/dhcp/dhcp-relay.mdx

@@ -26,6 +26,10 @@ accTitle: An example of Connector in DHCP Relay mode
 
 _The above graph shows Connector sending DHCP discover messages to a DHCP server offsite._
 
+:::caution
+DHCP relay will not work if your DHCP server is behind a [Cloudflare Tunnel](/cloudflare-one/connections/connect-networks/). To enable DHCP relay functionality, use either a Magic WAN tunnel or a CNI connection.
+:::
+
 To configure DHCP relay:
 
 <Tabs syncKey="dashPlusAPI"> <TabItem label="Dashboard">