In order to enable email authentication for MailChimp, you will need to do the following:

Add MailChimp as enabled sender for your domain in the Valimail Enforce application as described below:

The default DKIM keys for MailChimp will be added automatically.

Return to your MailChimp account and click on 'Verify Domain' as described in the steps in this MailChimp link:

Once you complete the above steps, you can begin sending authenticated emails using MailChimp.