Hi @tero.h.hakala First of all Yes its Important as servers uses these records as Trust/authentication checks when they receive something from other websites. So it is important to set it up.
To set it up you can simply use these guide. https://support.google.com/a/answer/7026550?hl=en & https://support.squarespace.com/hc/en-us/articles/360001280748-Verifying-third-party-domains-for-Email-Campaigns
Hope it Helps 🙂 Do Let us know if it works or not 🙂
