In your step number 2 you need to put ALL subdomains in the box, each subdomain name on a seperate line in the SAME box. So no need for step number 3 for you create 1 certificate for ALL subdomains. NOT a seperate certificate for each subdomain, for only 1 can be set as default.
So edit 1 of the certificates and make sure you put ALL subdomains in the same box. Generate and then set THAT certificate as default.
HTH