DKIM=none (message not signed)

I have followed this guide https://technet.microsoft.com/en-us/library/mt695945(v=exchg.150).aspx in order to setup DKIM for our domain on Exchange Online. I have DNS records checked with Get-DkimSigningConfig mydomain.hr | FL *CNAME:

Selector1CNAME : selector1-mydomain-hr._domainkey.mydomaindoo.onmicrosoft.com
Selector2CNAME : selector2-mydomain-hr._domainkey.mydomaindoo.onmicrosoft.com

However when I take  a look on email header from internal users I see:

Authentication-Results: mydomain.hr; dkim=none (message not signed) header.d=none;mydomain.hr; dmarc=none action=none header.from=mydomain.hr;

Can anyone help?

Thanks!