Just thought I’d weigh in, as I’m one of the mad skulls using DreamCompute to host my own e-mail server.
First thing to note is that _domainkey DNS records are for DKIM support; you should get these automatically for any domain configured to use Dreamhost as its e-mail provider, as Dreamhost’s mail servers will be running a DKIM tool (probably OpenDKIM) which will sign all of your outgoing mail such that anyone can verify the signature using your _domainkey DNS records.
If you want the same thing for a mail server hosted on DreamCompute, then you will want to install and configure OpenDKIM, there are various guides out there on how to do this, and it’s fairly easily; you just need to generate keys for every domain the server will host, and put the public parts in your _domainkey DNS record(s). Unless Dreamhost has a DNS API I’m unaware of then unfortunately there’s no easier way to automate this but copy/pasting isn’t too bad for a handful of domains.
If you’re NOT currently hosting a mail server on DreamCompute, and are in fact using Dreamhost as a mail provider, but for some reason don’t have automatic _domainkey records then that could very well be a bug, as it shouldn’t matter whether your domain(s) are pointing to a DreamCompute instance or not for web-hosting etc., as the automatic records shouldn’t be editable. You may run into issues though if you had/have DNS records for a mail or webmail subdomain.
I don’t agree with maiki that running an e-mail server sucks, but it’s not for the faint of heart, and definitely not a simple thing to setup in a headless Linux environment as it involves a lot of moving parts; I’ve got postfix for SMTP, dovecot for IMAP, a mariadb database for authentication, postfixadmin for management, roundcube for web-mail, so that means nginx and PHP too, then we’ve got opendkim for DKIM signing, spamassassin for anti-spam, postgrey for grey-listing (more anti-spam), sieve for mail filtering, and probably another half dozen more anti-spam packages I can’t think of off the top of my head. So yeah, it’s not a trivial amount of effort, though a good guide with good defaults makes it a lot easier; unfortunately the one I followed is now quite outdated so I wouldn’t recommend it to someone new.
There are some big advantages to rolling your own mail server, but the main thing is simply total control; with Dreamhost’s e-mail service you get whatever their defaults are, which are fine for the most part, but the addition of grey-listing has made a big difference to my anti-spam efforts (not sure if Dreamhost ever got around to adding that?), server-side mail filtering is a pain to get just right, but it’s so handy if you connect with multiple devices (no need to try to recreate the same set of rules in all your mail clients), plus I can have a catch-all e-mail address and still enable spam filtering, which Dreamhost never used to allow (not sure if that ever changed). It’s up to you though if any of this sounds worth the headache or not; a big part of my setting mine up was because I used to use a VPS, but after root access was suddenly removed I was forced to switch to DreamCompute, which didn’t include e-mail.
That said, it also has headaches, in fact right now I’m suffering through the second time that Dreamhost has broken my PTR records; this is basically DNS in reverse, taking an IP and pointing to a domain, but is important for e-mail because without a valid PTR record many mail servers will not accept your server as valid. I don’t know why Dreamhost’s PTR handling is so unreliable, or why support is being so damned slow to fix it, otherwise I’d be perfectly happy with my own mail server.