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.gco
names 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.