Make sure that your DKIM CNAME records are set to DNS Only. When you set them to proxied they get published as synthetic A and AAAA records that point to the Cloudflare Proxy.
Even with working DKIM records, you will still receive DMARC reports at the RUA published in your DMARC record. If you have your own email address in that record instead of one assigned by a reporting service like dmarcian, it can become cumbersome.