Do the mailcow steps first.
Add the DKIM in alias.com you just created in mailcow. You should set the MX to MAILCOW_HOSTNAME in alias.com, no matter wether you want to receive mails for it. Some mail servers punish you for not setting up an MX, they check for that.
If you send from alias.com (as you wrote), you can copy the SPF and DMARC stuff from domain.com to alias.com