It's definitely frustrating! We recently went down this path with ACS only to find out when we tried to add the custom segment to the budget reports that it couldn't be done. There were some clunky work arounds offered, which I can't remember.
We ended up using an existing segment - Location - that we were not really utilizing. We had one location defined during our initial setup but it wasn't used for anything. This works for us for now, but if we ever need that segment for its intended purpose we'll have a problem.