When you use custom DNS to point to your server, chances are, cpanel subdomain settings will not work.
To make subdomains work, all you have to do is go to your domain registrar and edit the A record
A Record – subdomain.mysite.com – Ip address
You can add as many subdomains you have on your server. Just make sure you create the folder in your server directory and add the subdomain on your cpanel.