The arrows or links with different pattern such as dashed or dotted or solid lines they all can have a different meaning in a diagram. Currently these are not included in that option “Create diagram keys”. However, this can be even more useful that just showing the used colours. Because used colours can in most cases be ignored as they are used to enhanced the visibility and to differentiate different boxes visually but arrows and lines carry more meaning and sometimes can be confused if there is no diagram key explaining it. 

For example, a dotted arrow may mean dependency from one component to the other while a solid arrow may mean the data flow. This same data flow can be confused with the direction of a request (in the context of HTTP requests) which can be the opposite direction of a data flow. But a “legends” table can help the reader of the diagram to understand

Besides, the viewer of a diagram may not be technical people so it’s important to explain what those different arrows mean