Tried it on a 2.3.3 install (with R2 enabled) and it works as expected for me... lands in R2 as it's supposed to and also the thumbnails work when uploading.
View attachment 310795
There's a lot of things that could affect it... Check Admin -> Options -> Cloudflare -> External data URL (need to have advanced options enabled). I wouldn't think that's missing if avatars and other things are working as expected, but something to double check.
Check if you have something special you added to your config.php (for example if you set a
externalDataUrl in there for some reason (it shouldn't be there).
Beyond that, I'm not really sure... it's working as expected for me under 2.3.3 (and I presume others because I guarantee one of the hundreds of sites using R2 would have posted here if it wasn't working for them).
Maybe try updating the addon (even if it's from/to the same version) in case some listeners or class extensions somehow got deleted in your setup.
Under Admin -> Development, there should be 3x code event listeners for this addon and 12x class extensions.