After creating the CNAME fm#._domainkey records in Cloudflare DNS Management, I was still getting “DKIM is not configured”. Initially I thought it was a TTL issue on the DNS records…

After playing around with dig fm1._domainkey.DOMAINNAME TYPE CNAME I went back to check the settings on the CNAME records:

I went in to edit those to be DNS Only

Now my Fastmail DKIM is correctly configured