So, weird thing. I googled the same topic because I'm having the exact same issue and this post came up. I literally just resolved my situation by ... talking to Afin. He had no quest logo or anything but because I had already spoken to him on my main, I bypassed that step on my alt. Well when I finally spoke to him on my alt at lvl 21, he opened up his quest chain and, lo-and-behold, Cofy's too, granting me the subclass quest..
Converse with fellow players