From the perspective of the Auth0 service the actual configuration of the email provider (be it Mandrill or other) will mostly be a black box as for most providers the service just invokes an HTTP API on the provider side that will then perform the actual delivery of the email.
I say mostly, because in Auth0 configuration you will still be able to provide a from email address that will then be used by your configured provider and that from email address will match the one you configured Mandrill with.
For example, lets say you own domain
example.org; you would need to configure Mandrill to be able to send emails on behalf of your domain
example.org (this domain will be completely independent to your Auth0 account). This process will likely require domain verification and DNS records to be configured on your own domain, but this is independent of the application/services which will then call into Mandrill.
In conclusion, based on the information you shared you first need to complete the steps outlined at (https://mandrill.zendesk.com/hc/en-us/articles/205582267-About-SPF-and-DKIM) which will be mostly independent of Auth0 service itself.
The only thing relevant to Auth0 configuration would be that upon doing the above you will configure the Auth0 Madrill email provider to use a from email address based on the domain you configured/verified in the above steps.