Since the Debian package contains “ifdef” for expansions, you can achieve supporting selective domain use for DKIM in exim with lookups.

Assuming the correct DNS records have been set up, add the key into /etc/exim4/dkim-foo.key and make it readable by the exim user (Debian-exim). Create /etc/exim4/dkim_senders with a list of addresses that should have mail signed.

/etc/exim4/dkim_senders

test@example.com
*@example.net

Create /etc/exim4/dkim_domains with the per-domain configs

/etc/exim4/dkim_domains

example.com: selector=foo key=/etc/exim4/dkim-foo.key canon=relaxed
example.net: selector=bar key=/etc/exim4/dkim-bar.key

Create /etc/exim4/conf.d/main/00_local_dkim (if you're using split config)

/etc/exim4/conf.d/main/00_local_dkim

 DKIM_DOMAIN =      ${lookup{$sender_address}lsearch*@{/etc/exim4/dkim_senders}{$sender_address_domain}{}}
 
 ## make the following active instead if all mail from selected domains should be signed
 # DKIM_DOMAIN =      ${lookup{$sender_address_domain}lsearch*@{/etc/exim4/dkim_domains}{$sender_address_domain}{}}
 
 DKIM_SELECTOR =    ${extract{selector}{${lookup{$sender_address_domain}lsearch*@{/etc/exim4/dkim_domains}}}{$value}{}}
 DKIM_PRIVATE_KEY = ${extract{key}{${lookup{$sender_address_domain}lsearch*@{/etc/exim4/dkim_domains}}}{$value}{}}
 DKIM_CANON =       ${extract{canon}{${lookup{$sender_address_domain}lsearch*@{/etc/exim4/dkim_domains}}}{$value}{relaxed}}
 DKIM_STRICT =      ${extract{strict}{${lookup{$sender_address_domain}lsearch*@{/etc/exim4/dkim_domains}}}{$value}{false}}

Run update-exim4.conf and reload exim. For addresses not listed in /etc/exim4/dkim_senders exim should not attempt DKIM signing. This config assumes that the signing domain is the sender's domain. It's reasonable, but not necessarily always true. It also assumes users on the same sender domain use the same signing key. If necessary it wouldn't be too hard to swap the lookups around to allow domains to support different selectors.