DirectAdmin will not configure or create a CSR for a wildcard cert.
You'll have to create the CSR manually and then install the Cert for each subdomain using the DA control panel, creating each subdomain as if it were an enitre domain, setting each up on it's own IP#, and then copying and pasting in the private key and cert for each subdomain.
If you should need help in configuring/installing wildcard certs, please contact me offlist.