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How to change sender in email?



I have configured mandrill service in Auth0 dashboard for sending emails and it is working fine but the issue is when I change sender (From) then I am not getting all the emails (I am getting like 1 out of 5 emails) and the sender address which I have provided in email template is not reflecting on the email I am getting.
Following are the email addresses I am providing:

In auth0 doc ( I found this paragraph:
“You must add the Sender Policy Framework (SPF) and DomainKeys Identified Mail (DKIM) DNS records to your domain’s zone file to allow Auth0 to send digitally-signed emails on your behalf. Without these records, the emails may end up in your users’ junkmail folders.”

So my question is is this what am I missing? If yes, then what is domain’s zone file and how can I add these settings in that?