Multiplex networks have been intensively studied during the last few years as they offer a more realistic representation of many interdependent and multilevel complex networked systems. However, even if most real networks have some degree of directionality, the vast majority of the existent literature deals with multiplex networks where all layers are undirected. Here, we study the dynamics of diffusion processes acting on coupled multilayer networks where at least one layer consists of a directed graph; we call these directed multiplex networks. We reveal a new and unexpected signature of diffusion dynamics on directed multiplex networks, namely, that different from their undirected counterparts, they can exhibit a nonmonotonic rate of convergence to steady state as a function of the degree of coupling, resulting in a faster diffusion at an intermediate degree of coupling than when the two layers are fully coupled. We use synthetic multiplex examples and real-world topologies to illustrate the characteristics of the underlying dynamics that give rise to a regime in which an optimal coupling exists. We further provide analytical and numerical evidence that this new phenomenon is solely a property of directed multiplex, where at least one of the layers exhibits sufficient directionality quantified by a normalized metric of asymmetry in directional path lengths. Given the ubiquity of both directed and multilayer networks in nature, our results have important implications for studying the dynamics of multilevel complex systems.