Turns out I didn't. Even after properly waiting 48 hours before clicking on the "Start Authentication" button for DKIM in my GSuite admin console. Kept on giving the same error message.
Apparently the MX Check tool does not validate the DKIM record contents. Only the existence of the record.
So the real trick is to use the DNS splitting tool from mailhardener!
After this I went through the other tools on mailhardener and also configured MTA-STS and TLS-RPT.