All data is routed through somewhere you don't have control over at some point. If everything is encrypted then you are fine. You could setup a vps and proxy through that instead of Cloudflare, but you are just relying on the vps provider to protect any data/not snoop then rather than Cloudflare.
The only real way to be completely private is to just avoid connecting to the internet at all, but that's not really feasible. Just get to a point where you are comfortable, you've already done more than most to protect yourself (as much as you can without it getting silly anyway). Good job!
Yea if you have a potato pc then vlc is probably the better choice, mpv is built to perform on newer hardware. Although, I have never tested as I don't have a low/old spec PC laying around anymore.
Basic anti-cheat already does this, but also with memory, because most cheats are reading/modifying what is in memory. I think the only ethical solution for anti-cheat is on the server side, with machine learning perhaps, kind of like VACnet.
This is comical.