First, as Rolf said, you should switch to opendkim. This package has been unmaintained for over two years.
I just tried it with sendmail 8.14.4 and opendkim 2.4.2 (just released!), and it signed a message I sent using the sendmail shell interface rather than SMTP. Since that means sendmail does provide milter service to mail that’s piped in, you should be able to get dkim-milter to do it too unless there was a bug in it in this regard.
You can always use LogWhy to track down why your mail isn’t being signed. It might have something to do with a domain name mismatch in the mail you’re feeding.
From: Willem Kossen [mailto:email@example.com]
Sent: Friday, August 05, 2011 5:57 AM
Subject: [dkim-milter-discuss] sendmail non-smtpd possible?
I have succesfully implemented dkim signing in my mailserver, but it only works when mail is delivered to it via smtp. A lot of mail however comes in via sendmail executable for instance because of websites, webmail or applications sending out notices. I want that mail to be signed as well. Is it possible at all (like in postfix non-smtpd filters) or in any other way? in fact, i would like all outgoing mail to be signed.