With Domains Administration dialog you only edit xml file with domains. You can not create file or assign file with domains to given design from there.
SQL Developer Data Modeler does not include a default domains file.
To create new domain definitions, select Tools > Domains Administration and click Add to create and add your own domains. These domains are added to the default file, defaultdomains.xml and can be used for all your projects.
The file is in <install directory>/datamodeler/types/defaultdomains.xml
Basically you should
1. Create /datamodeler/types/defaultdomains.xml if it already does not exists
2. Create (open) some design and import domains file from File->Import->Domains
3. After design is saved new directory /domains with design level domains file inside design tree will be created.