My workaround for this was to add a TXT record for *.mydomain.com that just returns a string like "Unused". This seems to stop them from hijacking any subdomains, and it's not an A record so undefined subdomain names do not resolve, just like if you had not defined them in the first place.

(Workaround shouldn't be necessary of course, but this kind of bullshit is par for the course with cheap hosting companies.)