This is something that I tripped upon recently ... Folders are not supported in the Pages library in a Publishing site.
Allthough you can turn them on my manually and do some configuration to get them to work (more or less ...), this is not supported by Microsoft. This is also the reason why that when you create a page, it is always placed in the root of the Page Library. You can move it after it was created, but some random stuff won’t work.
There actually is a support article about this - New pages that are created in a subfolder of a Pages library of SharePoint Server 2007 are saved in the root of the Pages library (KB948614)