If the current signature scheme works - you can stick with it.
The issue with DKIM signing before the mails leave your system is that PMG could change the mail (if you e.g. add a disclaimer...) - and this might render the DKIM signature invalid
In theory you could sign the mails on both places - but I don't see where this would be an improvement (if all outbound mails pass through PMG)
so in short: if it works as it is currently - why not leave it at that...
I hope this helps!