Hi there!
I’ve had just a similar query and contacted Shopify Support as the settings didn’t make much sense or just sounded wrong… I was told the settings are correct, and now I’ve put them in my DNS settings and I got the domain authenticated successfully. What made me worried was that the settings sounded very weird, and as I didn’t find the exact CNAME settings online it made me think they were wrong.
My guess is that they are using a number of domains that are made with different 3 letter combinations, and your just happens to be “err” rather than meaning error? Would explain why this post is the only one you can find when searching the internet for “mailererr._domainkey” - and same for the three letter variation that we had on our store’s settings.