Currently if you create a folder in the TestComplete IDE, it does not create a folder in windows. I believe that it should as when I went into my project via Windows Explorer, I opened up my ProjectS...
Well it's not a bug because it's working as designed. ;)
And I agree with cunderw - e.g. if I'm using tests from another directory, and I put them in the project in a folder called External, those tests already live in another Windows folder somewhere else and I don't want an empty External folder created in my project.