A subdomain with no record is normal
Enter mail.example.com and we look up _dmarc.mail.example.com — exactly what you typed, with no fallback to the organisational domain. Most subdomains have no record of their own, so a Fail here usually means no subdomain-specific record rather than no protection: receivers apply the parent domain's p, or its sp where one is published. Check the parent domain as well before you change anything, and see DMARC record tags explained for how sp overrides p.