You would typically get your DKIM key and selector from your email provider. They should be able to provide you with a DKIM entry you can just paste into Cloudflare’s DNS settings.
You cannot create a DKIM key on Cloudflare itself, as that’s not how DKIM works. This needs to come from your email provider.
Cloudflare can’t help you create DKIM records, because they must come from your email provider. You need to get the information from your email provider, and then enter that information at Cloudflare. Your email provider is the only one that can create a DKIM key for you.
In that case, you are the email provider, so you need to not only create the DKIM keys yourself, you also need to configure your mail server to use them. Only then can you enter the information at Cloudflare.
Mail server administration is beyond the scope of Cloudflare and this forum, but there is plenty of information about setting up DKIM on Microsoft Exchange on the internet. While I run mail servers, I know nothing of Exchange.