Mailchimp doesn't have to make this a requirement. They can offer it as an option for businesses who are concerned about making their mail not appear phishy, and have the competence to create DNS records.
Also, there is precedent for service vendors telling companies how to configure the appropriate DNS records (with a variation for each common domain registrar). Example: https://support.google.com/a/answer/33353?hl=en
If you create the record, they'd make the links use your domain: https://mail.your.biz/destination?unique=123abc
If you don't, they can do what they do today: https://something2-x1-really-sketchy01.mailchimp.com/m0re-sk...
Also, there is precedent for service vendors telling companies how to configure the appropriate DNS records (with a variation for each common domain registrar). Example: https://support.google.com/a/answer/33353?hl=en