Your directive.txt does not show here that it contains even multiple entries, it only states one? On a Linux NW server I'd add a directive via an input file similarly. My input file contains enters at the end of each line.

As you can see I leave out various quotes that you use.

However I don't ever work from Windows. Only Linux backup servers.

user@server:~> cat test_directive.nsri
create type: NSR directive;
name: test;
comment: "test directive";
directive: \
"<< \"E:\\\" >>
+skip: *.*
<< \"F:\\\" >>
+skip: *.*
<< \"G:\\\" >>
+skip: *.*
<< \"H:\\\" >>
+skip: *.*
<< \"I:\\\" >>
+skip: *.*";
user@server:~> nsradmin -i test_directive.nsri
created resource id 52.0.21.115.0.0.0.0.112.36.229.99.x.x.x.x(1)
user@server:~> nsradmin
NetWorker administration program.
Use the "help" command for help, "visual" for full-screen mode.
nsradmin> . type:nsr directive;name:test
Current query set
nsradmin> pr
type: NSR directive;
name: test;
comment: test directive;
directive: \
"<< \"E:\\\" >>
+skip: *.*
<< \"F:\\\" >>
+skip: *.*
<< \"G:\\\" >>
+skip: *.*
<< \"H:\\\" >>
+skip: *.*
<< \"I:\\\" >>
+skip: *.*";
restricted data zone: ;
nsradmin> q
user@server:~>

I found the answer, the directive.txt need to contain the following (with an empty new line at the very end):

create type: NSR directive; name:SkipTemp2;directive:"
<< \"c:\\temp\" >>
skip: *

<< / >>
+compressasm: .
";