Shipping and tracking are two separate APIs
On DHL, creating a shipment and tracking it do not run through the same service. The shipping side works with your eConnect application's credentials; tracking requires the separate key of its own tracking API product. That is why the setup takes values obtained from two different places.
The tracking key is optional — omit it and shipment creation keeps working, only status information is missing. Leaving it empty knowingly is a valid choice; leaving it empty unknowingly leads to "shipments are created but I cannot see where they are".