Using the username 'aa' in my management server, I created via mgmt_cli the administrator aaa in the System Domain in R81.
It is actually creating audit logs, which is good:
There was no corresponding entry for the session in Manage and Settings > Sessions > Revisions similar to what you're reporting
I assume, under the covers, it is actually creating a revision, just like any other published session, it's just not showing in that screen.
I presume this is a bug and would require a TAC case to resolve.
Note that a mgmt_cli session where I didn't log into the System Domain did create It did, however, create an entry for other items I performed via the CLI when not logging into the System Domain.