Automatically create <branch>.mydomain.com subdomain?

Looks correctly configured to me via our system:

You could use the API calls you can see when you create one in the dashboard, following this recipe: [Support Guide] Understanding and using Netlify's API so you could automate in the future:

  1. commit on branch that your site is configured to build
  2. let the build complete successfully
  3. add the branch subdomain via API.