I did exactly what you're describing with no problems at all. I transferred Ronaldo and Messi to Chelsea (I know, would never happen, but I like to imagine what it would be like
) then saved my custom squads and started a Career as a Manager. One of the options is to "Use Currently Customized Squads" or something along those lines. I think the default choice is "current roster," so MAKE SURE YOU CHANGE IT! After doing that and advancing, a message will come up saying something about leaderboards. Ignore it, hit A (or X on PS3), and viola, your squad is ready in CM.
Hopefully that helps with the problem you're having.