Looks I can re-create this issue.
Just as a workaround, one may edit /etc/netplan/01-netcfg.yaml
do the configuration in a persistent way there and do a netplan apply:
$ sudo netplan apply --dryrun
$ sudo netplan apply

Please notice that you should have your system always on the latest level - 
means today in case of 18.04 it's 18.04.2 (incl. all patches) - 18.04.2 
supersedes 18.04.1, but no need for a new install - just keep your system 
up-to-date with:
sudo apt update && sudo apt full-upgrade

** Also affects: ubuntu-z-systems
   Importance: Undecided
       Status: New

** Also affects: iproute2 (Ubuntu)
   Importance: Undecided
       Status: New

** Changed in: ubuntu-z-systems
       Status: New => Triaged

** Changed in: ubuntu-z-systems
   Importance: Undecided => Medium

** Attachment added: "recreate.txt"
   
https://bugs.launchpad.net/ubuntu/+source/iproute2/+bug/1838258/+attachment/5279819/+files/recreate.txt

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https://bugs.launchpad.net/bugs/1838258

Title:
  Unable to configure VLAN on an additional OSA interface

Status in Ubuntu on IBM z Systems:
  Triaged
Status in iproute2 package in Ubuntu:
  New
Status in linux package in Ubuntu:
  New

Bug description:
  After installing a base Ubuntu 18.04.1 server, an additional OSA device 
"e530" is attached and configured with chzdev. Then a VLAN configuration should 
be applied using the ip command.
  However this results in the error message "RTNETLINK answers: File exists". 

  >----snip----
  ip link add link ence530 name ence530.209 type vlan id 209
  RTNETLINK answers: File exists
  ----snip----<

  Executing the same steps on an Ubuntu 16.04.5 server, the ip command
  finishes without an error message but the VLAN interface is also not
  configured.

  Reproduction:

  - Install a 18.04.1 server
  - attach an additional OSA interface
  - configure a VLAN using the ip command

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