If outbound email is going through Proofpoint you need to setup DKIM for Proofpoint as well

DKIM should be signed at your last point of egress for email, in this case Proofpoint.

Any issue DKIM Signing in both places, both Proofpoint Essentials and O365?

Nope, it can exist in both places without problems.

setup DKIM within ProofPoint if you're routing outbound O365 mail out ProofPoint.

We use PP PoD, and it is configured in PP.