Just to add my two cents:
I could add a "create folder" feature for IMAP / EWS, but "create" implies "delete", and then I'd start getting messages like "Help, I've just deleted 10,000 messages from Donald Trump regarding a $100BN real estate deal". Wont matter if Aqua was asking for a confirmation when trying to delete a folder, either.
So, since this is not an everyday operation, please follow Mr Paris Geek's advice and create your folders in web mail.