From the screenshot, you are getting the response for /health. So, I presume your question is only about the Warning for the certificate presented and what is missing in the recipe.
I believe that warning is because the Dgraph Root CA is not trusted on the client (Cloudflare worker in your case)
In step (3),
When you create the tls directory using the dgraph cert command, the directory should have a ca.crt file. This is the Dgraph Root CA certificate. You will need to manually copy this certificate onto the Client (cloudflare worker) in its Trusted Root CA authorities section.
Here are some instructions for how to do this for Windows and Mac:
- How to add Certificate to Trusted Root on Windows 10
- FAQ: How to add root certificate to Mac OS X | OCIO
Let me know if this fixes the Warning.