Have managed to get this to work through the connector.
For example:
Select the Action to Create File.
The folder path specified will be created if it does not exist.
(in our example, we used the email subject in this case "Test email") /Subject/ dynamic variable.
File name = Dynamic variable of Name = "Test Attachment"
File content = Dynamic variable of Content
This created a folder called "Test email" with the file "Test Attachment"
So it does look like it might be possible using the connector this way to create folders at least which is all we need at this point.. (although it is not very straight forward).