[SaaS] Update getting-started.mdx

Author: ngayerie

src/content/docs/cloudflare-for-platforms/cloudflare-for-saas/start/getting-started.mdx

@@ -71,6 +71,12 @@ Requests to `mystore.example.com` would go to your CNAME target (`customers.saas
 
 [^1]: <Render file="regional-services" />
 
+:::warning
+If you need to use an A record to point to the SaaS target, you'll need to get [Apex Proxying](/cloudflare-for-platforms/cloudflare-for-saas/start/advanced-settings/apex-proxying/) enabled.
+By default, using an A record instead of CNAME to point to the target is **not a supported setup**!
+:::
+
+
 #### Service continuation
 
 <Render file="get-started-service-continuation" />