Check your forwards to see if the account is there also.
And make sure the fail has a colon on both sides as in :fail:
Otherwise reopen the ticket pointing to this thread.
In cpanel > email
set the default address to :fail:
this will reject any email that does not match an actual account or forward.
Use forwards for throw away address, and when they get spammed, remove the forward.
Log into your cpanel > domains > sub domains
where you see Subdomain :_____________
fill in the name for the sub domain
then click on create.
Thats it, cpanel will create the folder and redirect the sub domain to the folder for you.