This is a topic which is far too complicated for the Elmer section but I will attempt a solution, please test this before setting sail across the Atlantic
1) The cable you have been supplied with should have a 15-pin D-Sub connector on it that is designed to connect to the K3 and not much else, it is therefore useless for this application apart from being able to use the connectors.
2) You don't say which model of Microham Digikeyer you have but your connections to the M710 are as follows:
1. CW Key
3. PTT Line, Ground for Transmit
4. Modulation Input to rig
5. AF Detector Output from rig
6. Scan (not used here)
7. 13,8V out, possibly to power your Digikey unit after fitting a fuse.
8. ALC in (not used here)
So, audio from your Digikey goes to pin 4 and audio to your Digikey goes to pin 5. Please also note that there are TWO ways of sending FSK modes using this rig, the first method uses the oscillator inside the transceiver and a high/low on pin 1 (FSK Mode), the second method uses audio tones fed through the ACC 1 connector (J2B Mode) See page 10 of the manual.
I know nothing about the Icom IC-M710 or about Microham equipment apart from what I found out this evening using Google. Getting a Marine Inspector or an expert in marine electronics to check out your work would be a really good idea.