Setting up DKIM

Setting up DKIM

So I have been alerted that I need to configure DKIM for my domains email.  I have been reading the link to the Zoho help file {  https://www.zoho.com/mail/help/adminconsole/dkim-configuration.html ] and I am not an expert so I wanted to ask a questions about what it says here:  

Currently, the DKIM is supported only for emails generated in Zoho and directly delivered to external servers. For domains configured with Email Routing and Outbound Gateways, where the emails are not directly delivered or emails generated from other servers, DKIM is not supported.

I would like to know if this means that when I use an email client such as Apple Mail does this mean that the DKIM is not going to take effect?  Does this mean it only takes effect when I use Zoho mail directly, such as logging in to mail.zoho.com ?