It has options for split tunneling but it's mostly meant to be used as a big ON / OFF button so you have to enter the IP addresses and subnet maskings manually.
I simply hit the button to turn it on when I'm playing FFXIV and then turn it off when I'm done. Not the best setup in the world but like I said I trust Cloudflare way more than these random VPN services.
If you click the gear icon on the big On / Off toggle button then go into Preferences and then Advanced it has split tunneling options there.
