That directory should get created by the tipserv-install target. What machine are you trying to run the console command on? Can you run console.bin on your tipserv machine successfully? Does your tipserv have connectivity with your boss machine? The console script wrapper just asks boss for the tipacl file, so if it can't reach boss it will fail.
Note, you cannot run the console program on boss if you running from the release. That was added later. Many sites are now running from the CVS repository. Once things settle down, we recommend that you contact us for a CVS account to stay current. Lbs