Yes, you have to use their DNS, which is tightly integrated with their CDN in ways that are fine for some people but others may find undesirable (e.g. they automatically obtain SSL certificates for your domains).
It’s possible you have to use their DNS servers (I haven’t checked) but I know for a fact that the rest is not mandatory, because I don’t do any of it.
It's true that you have to use their DNS, but that's it. You don't have to use their CDN (it's easy to turn off) and you don't have to use their SSL certs.
