A confusing location is here, need to pay attention
Wrong:
c:\Program Files (x86)\CA\siteminder\adminui\server\default\deploy\iam_siteminder.ear\management_console.war\WEB-INF\web.xml
Should be:
c:\Program Files (x86)\CA\siteminder\adminui\server\default\deploy\iam_siteminder.ear\user_console.war\WEB-INF\web.xml