Hello,
In the DNS settings of the domain do you have some records like :
default._domainkey.domain.com. TXT p=MHwwDQYJKoZIhvcNAQEBBQADawAwaAJhHFUWHWFWIDJIWDJWysdv7tBPSnOz3c6lFtnlAWIhE/TvmajIiGICmeVEmqrddN54sn70tsjswDCfZNIdYdQSftXOTvWyGEM7UM7e+rJjVsr/TT4ruoqy9oIxfwIDAQAB;
_domainkey.domain.com. TXT o=-
If yes, it means that the Domains Key feature has been enabled. If not, go to Plesk -> Domains -> Domain.com -> Mail Accounts -> Mail Settings -> and check "Use DomainKeys spam protection system to sign outgoing e-mail messages".
Another problem can be if the nameservers are not set on your server. If so, the mail servers are checking another server for TXT records and since they are missing the tag will not be added.
Cheers.