There was a question about it on the maillist back in 2010:
http://lists.opendkim.org/archive/opendkim/users/2010/01/0081.html
When the sending domain has a CNAME for '_adsp._domainkey.example.com', but this CNAME does not eventually resolve into a DKIM record, this is, in my understanding, a perfectly legit situation, strictly equivalent to "the domain does not have the _adsp DKIM record". However, it is treated by opendkim as temperror:
Authentication-Results: dehost; dkim=fail
reason="verification failed; unprotected key"
header.d=yahoo.com header.i=@yahoo.com header.b=z9etjPv7;
dkim-adsp=temperror reason="'_adsp._domainkey.yahoo.com' reply was unresolved CNAME" (unprotected policy);
dkim-atps=neutral
In this particular case the CNAME is of course a wildcard. I believe that such configuration should resolve to definite "record not present" rather then temperror.
Expect something for this in 2.9.0.
Done for 2.9.0.
v2.9.0 released.