Do I really need to configure DKIM?

Do I really need to configure DKIM?

I am getting a message, 'DKIM entries in your domains DNS are not configured to match with Zoho.Please configure DKIM to ensure better email delivery'

I have looked at the info on how to do it and am completely bewildered by it. I seem to be getting e-mails OK. Do I need 'better e-mail delivery'? I don't know. What will happen if I don't configure DKIM entries?

Thanks
Tony