I always forget on how to fix this, so I decided to write this down. On a default Windows CA installation, the SAN attribute will not be added to the certificate if the request is made via the webinterface (https://ca.domain.local/certsrv).
The fix for this issue is quite simple. It requires 1 command in an administrative prompt (cmd or powershell):
certutil -setreg policy\EditFlags +EDITF_ATTRIBUTESUBJECTALTNAME2
After executing this command, restart the certificate service:
net stop certsvc net start certsvc
All done! Now the SAN attributes will be added to the certificates.