Keith and Mary from cpanel team paste me this link
as long as i check their exim build does include Experimental_DKIM enabled.
root@delta [~]# /usr/sbin/exim -dd | grep Experimental
Support for: crypteq iconv() IPv6 PAM Perl OpenSSL Content_Scanning Old_Demime Experimental_SPF Experimental_SRS Experimental_DomainKeys Experimental_DKIM
the issues that i see is when when cPanel/WHM rebuilds exim, the edits to the exim.conf may be wiped out. You will want to create a backup copy of your edited exim.conf. Then you can create a script (bash/perl/etc) at /scripts/postupcp to copy your custom config back after a cPanel upcp is run.
on line 4 dkim_domain=your_domain_name.com there i think i have to compete all the domains off the server.
personally i havent try yet cause all the boxes are blacklisted and yahoo paste me useless answers improve your email settings etc