Ctrl+Shift+N to create a new folder in the binder, give it a name, and hit enter - the new folder appears to be selected in the binder.
Import & Split - and the new documents don’t end up in the folder, they go to the top level of the binder, just below the trash.
You have to take the extra step of clicking on the new folder first, even though it appears to already be selected, and then Import and split will put the new documents into the folder.