Checking the site ive found: DKIMproxy is an SMTP-proxy that signs and/or verifies emails, using the Mail:KIM module. It is designed for Postfix, but should work with any mail server.
So, DirectAdmin Server are usign Exim as MTA, maybe you need to make some config manually.
Have you tryed DKIM feature of DirectAdmin? Why would you use DKIM Proxy?
Regards