Pointing to host’s nameservers. Why?

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The review of this web host was started by loxy on 2009-11-17 20:21:26:

Whenever I have signed up with a shared hosting company, the email they send me with setup instructions says to point my domain to their nameservers. Do I have to do this? Can I just setup the webpage and have the domain redirect there by using my registrar’s control panel?

I’m thinking I’d like to do this because I can’t get domainkeys to work with sendmail, only SMTP. I read that you can add domainkeys to your DNS to that all email is signed automatically.

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