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That's not a problem. The client's domain is no different from another domain you happen to operate. I recommend you get DKIM set up for their domain just as you (presumably) did for yours.
I would caution you against doing this because it can affect your IP's reputation. If you don't setup the DKIM/SPF your emails on behalf of others may hit spam more often.
You could also be running afowl of privacy laws in some regions.
Does it mean setting up DKIM with client's domain affect IP's reputation?
Where are these "some regions",
@Josh The customer's SPF record has no meaning for Marketo emails!
@Vivian R When you set up DKIM you are creating a legally enforceable binding between the email and the owner of the DKIM subdomain (and, in practice, to the whole domain, since subdomain ownership can't really be detached without deliberate subdomain DNS delegation). That is, if someone receives an email that is successfully signed as being from M1._domainkey.vivian.com and you are the registrant for the vivian.com, then you are responsible for that content. You cannot protest that the email was forged (because it cannot be forged if someone doesn't have administrator access to the domain records for vivian.com). This is markedly different from unsigned email where you have a reasonable degree of deniability about whether you authorized and/or sent the email, since many other levels of "forgery" or "impersonation" can be performed (some of them malicious, others just business-as-usual with email communications).
All that said, even though recipients could in theory punish a domain that is proven to send signed spam uber-harshly -- while letting those that are merely suspected of sending unsigned spam off with lesser punishments -- in reality they are punished roughly equally. There aren't enough people signing spam for it to be a major distinguishing factor.
tl; dr: Sending signed legitimate mail will marginally help your delivery rates. Sending signed spam will harm the IP's reputation as much as sending unsigned spam. Don't send spam.
Also, I'm not aware of which, if any, jurisdictions expressly prohibit using a third-party email provider. Many Marketo shops send email for hundres of domains inclusing those outside their corporate control (in fact, we do this even with our un-owned partners, even as an enterprise). You would have to look into the local laws for your customer's area, I suppose, and let them know that if they tell you to do anything that turns out to be illegal it's their fault (i.e. put the legal burden on them to say it's okay).
Well said!! Thank you Sanford for the insights!