For wildcards you need a Caddy build that includes the dns plugin for your specific provider. There's a tool called xcaddy that helps with that. It's still kinda annoying because now you need to manage the binary for yourself but when I tried it with Hetzner it worked fine.

In case it helps someone else, this is what I do:

    FROM caddy:2-builder AS builder

    RUN xcaddy build \
        --with github.com/caddy-dns/cloudflare \
        --with github.com/greenpau/caddy-security

    FROM caddy:2

    COPY --from=builder /usr/bin/caddy /usr/bin/caddy

    COPY Caddyfile /etc/caddy/Caddyfile