I just found the same tool - I'm using NO-IP for my DNS provider and there's one thing for sure, NO-IP makes it really HARD to create a CNAME record!
I called No-IP support this morning and was informed that they can't talk about DKIM records -- really??
Kept digging and finally figured out how to create the CNAME DKIM records and that was via the DMARCLY.COM site -- EXCHANGE ONLINE, because MS keeps changing the user interface, is difficult to deal with in that the stuff returned from searching the internet, even if marked relatively current, doens't match the interface!
Oh, and by the way -- MXTOOLBOX DKIM checker says SELECTOR2 is published, but in error (lord knows what that means as there's no explanation).
The DKIM checker on dmarcly.com worked for both selector1 and selector2 and now Exchange Online is happy and DKIM is in place -- even ran a test Email Message to GMAIL and looked at the header -- YEA!! IT PASSED!! -
And to the gentleman that said someone else had documented just what was needed -- sorry, but that's not quite right.