As I am not able to login into Support, I will post this here.
AUTHORIZE request handles E00039 error correctly because it uses AuthorizeNetCimBasedManager.CreateCustomer which handles this. But SALE request uses AuthorizeNetService.CreateCustomer directly without error handling.
Fix is simple, use AuthorizeNetCimBasedManager.CreateCustomer for SALE request in the AuthorizeNetCimBasedManager.ProcessSaleRequest method.
I have Commerce 11.6.1