The only valid case for the domain key NOT being shown on the last step for the process is when a CSR was used on the first step (for the obvious reasons, explained on site, including the FAQ page). If it has been generated on site, it will be shown.
Long time ago there was one case when the page has not been shown correctly, which came out to be because of the browser plugin playing with the layout a bit (was Grammarly if I’m not mistaken), but that was fixed quickly.
To sum this up: if the process of generating the certificate has not been interfered with in some unusual way and you have not used a CSR on the first step, you will always be getting both the certificate and associated domain key on the last step.
You can also pre-generate a CSR/key pair with the CSR generator at https://zerossl.com/free-ssl/#csr and then use the generated CSR with the SSL Certificate Wizard. Note: they key generated with the CSR Generator is effectively your “domain key” and it does not need to be entered anywhere in SSL Ceritificate Wizard - this is what you use when adding your certificate into your web server configuration.