How can I add a DKIM record to a domain on Microsoft 365?

Greetings ^^ We own a domain on shopify, and it is associated with a Microsoft 365 Tenant. Our DNS records have been added, and are working properly. The MX record points to Microsoft Exchange service. Incoming emails are getting routed properly to the corresponding Exchange mailbox, however, we have a problem with outbound email. All our messages are getting delivered to the junk mail folder when they reach our customers. So we contacted Microsoft technical support, and we were advised to set up a DKIM record so that all our outbound mail can be verified by the recipients. However, when attempting to add the DKIM record (as a CNAME record), nothing happens. The pop up window disappears, and the record doesn’t get added. Please, can anyone give us advice on what we can do to add a DKIM record to the DNS records zone?

This is an example record from the Microsoft official documentation:

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You can’t use Microsoft DKIM records with Shopify DNS servers as they don’t support the leading underscore on the domain name.