samples: mgmt: updatehub: Fix gen privkey inc

When try build updatehub using overlay-dtls.conf system fail with
cannot create privkey.der.inc file, permission denied.  Add missing
gen_dir cmake definition. Update updatehub sample test config to
run missing dtls build test.

Signed-off-by: Gerson Fernando Budke <gerson.budke@ossystems.com.br>