I'm also using caddy with desec.io. When first triggering the challenge for an entry, it can fail a couple of times. I think it just takes a while for the DNS entry to be available.
Another thing that I've experienced is that I can't use wildcard subdomain entries. My guess is that it's somehow because I only have public IPv6 addresses (but I don't remember the details). I have configured an internal DNS with the wildcard entry since I'm only ever connecting to that host via wireguard from outside my network. For the host itself I've created a regular AAAA record.
I'm also using Caddy with desec and get the same result when adding a new subdomain. It fixes itself after a while though (10+ minutes). Maybe try waiting a little longer.