/etc/my.cnfDirectAdmin does create a secondary my.cnf, but it's only used for the mysqldump calls. It's found at
/usr/local/directadmin/conf/my.cnfand should not be changed as it's overwritten regularly (based on the mysql.conf in the same directory).
/etc/mysql/my.cnfYou shouldn't have this file.. and you shouldn't even have a /etc/mysql directory, as it will conflict with your /etc/my.cnf.
/root/.my.cnfThis should not exist as our call to mysqldump will find it. Often admin's will have a user/password in that file, which breaks our calls to mysqldump.