When you using 1st level $data's-property, it accessing to $data object directly through []-brackets

But you want to pass to selected-directive the path to nested object, so you should do something like this:

// source: https://stackoverflow.com/a/6842900/8311719
function deepSet(obj, value, path) {
    var i;
    path = path.split('.');
    for (i = 0; i < path.length - 1; i++)
        obj = obj[path[i]];

    obj[path[i]] = value;
}

Vue.directive('selected', {    
bind: function (el, binding, vnode) {    
    var select = $(el);    

    select.select2();    
    deepSet(vnode.context.$data, select.val(), binding.expression);    

    select.on('change', function () {    
        deepSet(vnode.context.$data, select.val(), binding.expression);
    });    
},    
update: function (el, binding, newVnode, oldVnode) {    
    var select = $(el);    
    select.val(binding.value).trigger('change');    
}    
});

<select v-selected="userEditor.Id">
<option v-for="user in users" v-bind:value="user.id" >
   {{ user.fullName}}
</option>
</select>

Description:

Suppose we have two $data's props: valOrObjectWithoutNesting and objLvl1:

data: function(){
  return{
    valOrObjectWithoutNesting: 'let it be some string',
    objLvl1:{
      objLvl2:{
        objLvl3:{
          objField: 'primitive string'
        }
      }
    }
  }
}

Variant with 1st level $data's-property:

<select v-selected="valOrObjectWithoutNesting">

// Now this code:
vnode.context.$data[binding.expression] = select.val();
// Equals to: 
vnode.context.$data['valOrObjectWithoutNesting'] = select.val();

Variant with 4th level $data's-property:

<select v-selected="objLvl1.objLvl2.objLvl3.objField">

// Now this code:
vnode.context.$data[binding.expression] = select.val();
// Equals to: 
vnode.context.$data['objLvl1.objLvl2.objLvl3.objField'] = select.val(); // error here

So the deepSet function in my code above "converting" $data['objLvl1.objLvl2.objLvl3.objField'] to $data['objLvl1']['objLvl2']['objLvl3']['objField'].

As you see, as I mentioned in comments to your question, when you want make select2-wrapper more customisable, the directive-way much more complicated, than separate component-way. In component, you would pass as much configuration props and event subscriptions as you want, you would avoid doing side mutations like vnode.context.$data[binding.expression] and your code would become more understandable and simpler for further support.