On the "URLs" tab under the "Blog Settings" section, in your Admin Panel, you'll notice that, by default it is checked :

http://mydomain.com/blogs/index.php (Current default : myblog)

Now, if you switch that url format to the subdomain url format by checking the :

Subdomain of basedomain http://url_name.mydomain.com/

and copy and paste the new url for your blog (which the script suggests), you'll get an error.
So, going to http://myblog.mydomain.com/ shows an error.
The script is unable to switch from the default url format to the subdomain url format.
This happens in both 2.4.3 and the latest release 2.4.5.

Note: Manually, I have not created any subdomains for my domain in my cPanel. I shouldn't have to because the script should automatically do all that for me.

How to solve this problem ?

Everytime, I create a new blog, the script should automatically create subdomains under my new blog names without me having to manuualy create the subdomains and point them to my new blogs.