I ran in to the same problem recently, our browsers were able to locate the PAC file via wpad.mydomain.com using auto discovery when connected via DirectAccess.
The suggestions here pointed me in the right direction, but I decided to do something different. I added a Name Resolution Policy Table (NRPT) exception to the DirectAccess configuration so that DirectAccess clients were unable to locate wpad.mydomain.com via a DNS lookup. Add your wpad FQDN to the NRPT and leave the DNS server address blank.
Browsers are now still set to auto discover, but cannot locate proxy settings when connected via DA. Connect back to the company LAN and auto detect still works.
