The fee is denominated in dai, not MKR. So as the supply of MKR declines, the dollar price of it will rise. This means the dai price will rise.

EG. Suppose the interest rate is 10%. A CDP with 100 dai drawn will require an interest payment equal to 10 dai. Suppose the current market price is 1 dai = 1 MKR. This would mean the fee paid to the CDP would be 10 MKR. Now fast forward a few years. MKR has been continually burnt in the interim. Because of this, the MKR price is now $700, or 700 Dai. If we take the example of a CDP with 100 DAI drawn that requires an interest payment worth 10 Dai, MKR is now worth 700 Dai. This means that you would only require 0.014 MKR (=10/700).

What this means is that as MKR is burnt, the price will increase which means the interest payments in MKR terms will fall. Since MKR has 18 decimal places, it will never really run out.

(If there’s ever an ERC20 token to HODL, it’s MKR)