Because there's no command to do that.
Current printer firmware usually has commands to
- fetch a list of DOS file names from the printer (hence also the
test~1.gconames you see in OctoPrint):M20 - initialize the SD card:
M21 - release the SD card:
M22 - select a file for printing:
M23 - start a print:
M24 - pause a print:
M25 - set the position in the file to print:
M26 - query the current printing status:
M27 - start and stop sending commands into a new file:
M28,M29 - delete a file:
M30
Some firmware variants also support:
- report time since begin of SD print:
M31 - select and immediately start printing a file:
M32 - fetch long name of one file on the SD:
M33
As you see, there are no commands to create or manage folders in any way.