Info on configuring 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 configuring DKIM entries and I am totally bewildered by it. I am still getting e-mails OK. Do I need 'better e-mail delivery'? I don't know. What will happen if I don't configure DKIM?

Thanks
Tony