I believe you have found a bug in the interoperability of the Unix Director with SigWizMenu.
We just found out about it this afternoon, and we haven't had a chance to notify everyone about it yet.
If you are creating filters with the Unix Director and then run SigWizMenu, the filters will be removed.
Workaround:
To prevent this from happening, do not use SigWizMenu. Instead nrConfigure on the Unix Director should be used to create the Custom Signatures. nrConfigure has all the functionality available in the SigWizMenu program so you should use nrConfigure instead of SigWizMenu to keep from seeing this problem.