You should only be able to create databases through DirectAdmin itself, so yes that is correct behaviour.
jayg, there is no limit to the number of databases on a server level, however you plan may only have one database for your account. You will need to contact your hosting provider about this.
Also be aware that you must create a new mysql user and password for every database that your create.
Only your primarly login details (that you use for DirectAdmin) should have access to all the databases that you create at the same time.
There is no feature that adds a database to a user such as in cpanel and this has been covered several times and requested in these forums.