Sorry for late reply,
I installed new server and removed the license from old server while migration but some how the license not deleted from old server and same license being used in new server so because of that it was not allowing to create custom directory user list and XML file was being deleted every time.
I have license removed and stop the services from old server and problem gets solved.
I have observed this problem in version 11.20.12860.0
Here is what I think is happening.
When you open the management Console I believe it is caching a version of this file.
This file holds all custom users and groups.
The problem arrises when you have multiple administrators.
When they open the management console and add users.
Then they are updating a cached version of this file(CustomDirectoryData) which may have been updated by another administrator.
As a workaround, I ensure that I kill all IE sessions on my server before I add users. Ive not seen the problem since.